Predicting market returns using aggregate implied cost of capital

被引：77

作者：

Li, Yan ^{[1
]}

Ng, David T. ^{[2
]}

Swaminathan, Bhaskaran ^{[3
]}

机构：

[1] Temple Univ, Fox Sch Business, Dept Finance, Philadelphia, PA 19122 USA

[2] Cornell Univ, Dyson Sch Appl Econ & Management, Ithaca, NY 14853 USA

[3] LSV Asset Management, Chicago, IL 60606 USA

来源：

JOURNAL OF FINANCIAL ECONOMICS | 2013年 / 110卷 / 02期

关键词：

Implied cost of capital; Market predictability; Valuation ratios; STOCK RETURNS; DIVIDEND YIELDS; TESTS; SAMPLE; INFERENCE; ACCURACY;

D O I：

10.1016/j.jfineco.2013.06.006

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Theoretically, the implied cost of capital (ICC) is a good proxy for time-varying expected returns. We find that aggregate ICC strongly predicts future excess market returns at horizons ranging from one month to four years. This predictive power persists even in the presence of popular valuation ratios and business cycle variables, both in-sample and out-of-sample, and is robust to alternative implementations. We also find that ICCs of size and book-to-market portfolios predict corresponding portfolio returns. (C) 2013 Elsevier B.V. All rights reserved.

引用

页码：419 / 436

页数：18

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