• Medientyp: E-Book
  • Titel: Accounting-Based Equity Valuation and Returns on Equity Volatility
  • Beteiligte: Lyle, Matthew R. [VerfasserIn]
  • Erschienen: [S.l.]: SSRN, [2020]
  • Umfang: 1 Online-Ressource (46 p)
  • Sprache: Englisch
  • DOI: 10.2139/ssrn.2696183
  • Identifikator:
  • Schlagwörter: Fundamental Analysis ; Valuation ; Stock Returns ; Variance Risk Premiums ; Option Returns
  • Entstehung:
  • Anmerkungen: Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 18, 2016 erstellt
  • Beschreibung: The same firm characteristics that help explain cross-sectional variation in expected stock returns, such as size, book-to-market and the earnings yield, also help explain cross-sectional variation in returns to trading in option-implied stock return volatility. This empirical phenomenon is shown to arise within a tractable accounting-based valuation model that allows for risk aversion and stochastic earnings volatility. The model predicts that expected stock (stock return volatility) returns are positively (negatively) related to a combination of the inverse of size, book-to-market, the earnings yield, and the dividend yield. These predictions are strongly supported using a variety of empirical specifications. The model provides a framework for jointly investing in stocks and options, and the findings highlight the ability of accounting-based valuation models to explain price dynamics across stock and volatility markets
  • Zugangsstatus: Freier Zugang