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Kewei Hou, T. Moskowitz (2003)
Market Frictions, Price Delay, and the Cross-Section of Expected ReturnsMicroeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal
Xiao-Jun Zhang (2000)
Conservative Accounting and Equity ValuationFinancial Accounting
We develop a method for simultaneously estimating the cost of equity capital and the growth in residual earnings that are implied by current stock prices, current book value of equity, and short‐term forecasts of accounting earnings. We demonstrate the use of our method by calculating the expected equity risk premium. Our estimate is higher than estimates in extant studies that are based on the same earnings forecast data. The main difference between our study and these papers is that while they provide arguments supporting an assumed rate of growth beyond the forecast horizon, we estimate this rate.
Journal of Accounting Research – Wiley
Published: Jun 1, 2002
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