Using Expectations to Test Asset Pricing Models

By Alon Brav, Reuven Lehavy, Roni Michaely. 2005

206 citations recorded by the source corpus.

Subfields: Accounting, Finance, Strategy and Management

View Paper: https://www.semanticscholar.org/paper/1f11d6db8cfb692e48785f9b678b3a9cab699488

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Accounting

1. Martin Walker
2. Beatriz García Osma
3. Juan Manuel García Lara
4. Fernando Penalva
5. Rongbing Huang
6. Katherine Schipper
7. Jennifer Francis
8. Per Olsson

In Finance

1. Martin Walker
2. Beatriz García Osma
3. Juan Manuel García Lara
4. Fernando Penalva
5. Rongbing Huang
6. Jennifer Francis
7. Katherine Schipper
8. Per Olsson

In Strategy and Management

1. Martin Walker
2. Juan Manuel García Lara
3. Beatriz García Osma
4. Fernando Penalva
5. Rongbing Huang
6. Katherine Schipper
7. Jennifer Francis
8. Per Olsson

Citations in the corpus

• Predicting market returns using aggregate implied cost of capital (2013, unknown): “…French (2002)), test theories on betas (Kaplan and Ruback (1995), Botosan (1997), Gebhardt, Lee, and Swaminathan (2001), Gode and Mohanram (2003), Brav, Lehavy, and Michaely (2005), and Easton and Monahan (2005)), international asset pricing (Lee, Ng, and Swaminathan (2009)), default risk (Chava…”
• Is Default Risk Negatively Related to Stock Returns (2010, background): “Brav, Lehavy, and Michaely (2005) use a measure of expected return from the Value Line database to uncover the relation between market beta and expected return.”
• Idiosyncratic Risk and the Cross-Section of Expected Stock Returns (2009, unknown): “These estimates are downloaded from Alon Brav’s website.14 Brav, Lehavy, and Michaely (2005) use them to test asset pricing models.”
• Predictability in Financial Markets: What do Survey Expectations Tell Us? (2009, unknown): “[2] Brav, Aol, Reuven Lehavy and Roni Michaely (2005), “Using Expectations to Test Asset Pricing Models,”Financial Management, Autumn, 5-37.”
• Sticky Expectations and the Profitability Anomaly (2018, unknown): “More recently, Brav et al. (2005) find that systematic expectation errors are consistent with a large number of signals used to forecast returns, but do not attempt to put economic structure on expectation dynamics.”
• Do Heterogeneous Beliefs Matter for Asset Pricing (2005, background): “Recent work by Brav, Lehavy, and Michaely (2003) employs analysts’ price target estimates to approximate ex ante expected returns; however, price target data are unavailable during the time period we examine.”
• Testing Theories of Capital Structure and Estimating the Speed of Adjustment (2009, background): “Brav, Lehavy, and Michaely (2005) estimate the implied nominal expected market return using target prices and future dividends from Value Line for 1975–2001.”
• Voluntary Disclosure, Earnings Quality, and Cost of Capital (2008, background): “On this point, Bushee [2004] concludes that “the S&P measure captures mandatory disclosures and a set of voluntary disclosures that are almost universal among S&P 500 firms.”
• Corporate Social and Financial Performance Re-Examined: Industry Effects in a Linear Mixed Model Analysis (2011, background): “Lastly, because required equity returns have been shown to increase with financial leverage (Brav et al. 2005), we also include a control for the amount of debt in the capital structure which we measure as the debt ratio.7 Empirical Methods To test our propositions regarding the impact of socially…”
• Earnings Smoothness, Average Returns, and Implied Cost of Equity Capital (2010, unknown): “Finally, Brav et al. (2005) note that Value Line tends not to cover small, high BM firms.”
• Executive Pay Disparity and the Cost of Equity Capital (2013, unknown): “The Value Line cost of equity (COCVL), estimated following Brav, Lehavy, and Michaely (2005), is defined as R minus the risk-free rate.”