How to Discount Cashflows with Time-Varying Expected Returns

By Andrew Ang, Jun Liu. 2004

170 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/825262a0cf6da09b888060d37549ad431d253c2c

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Citations in the corpus

CAPM Over the Long-Run: 1926-2001 (2003, unknown): “Petkova and Zhang (2003) claim that the cov(β i,t , µ t ) term can account for the point estimate of the value spread, while Lewellen and Nagel (2003) argue that this term cannot be significant.”
Predictive Regressions: A Present-Value Approach (2010, unknown): “Our paper is closely related to the recent literature on present-value models, see Cochrane (2007), Lettau and Van Nieuwerburgh (2006), Pástor and Veronesi (2003), Pástor and Veronesi (2006), Pástor, Sinha, and Swaminathan (2007), Bekaert, Engstrom, and Grenadier (2001), Bekaert, Engstrom, and Grena”
Cost of Capital and Earnings Transparency (2008, unknown): “As Section A.2 of Appendix A explains, to obtain an estimate of expected cost of capital, we use the four-factor model, with time-varying factor loadings, risk-free rates, and risk premia (Ang and Liu, 2004; Ibbotson Associates, 2005; Massa et al., 2005).”
Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium (2007, methodology): “…method of separating the aggregate dividend into its zero-coupon components and using affine term structure techniques to value each component is also applied in Ang and Liu (2004), Bakshi and Chen (1996), Bekaert, Engstrom, and Grenadier (2004), Johnson (2002), Wachter (2006), and Wilson (2003).”
Asset Return Dynamics under Habits and Bad Environment–Good Environment Fundamentals (2017, unknown): “We evaluate this expectation using results from Ang and Liu (2004). Let  be a  × 1 vector where  ∼  (0Σ),  a  × matrix, and Ω a symmetric  × matrix.”
CAPM for Estimating the Cost of Equity Capital: Interpreting the Empirical Evidence (2009, unknown): “…the cost of equity capital using the CAPM is due to the risk premium estimate; Pastor and Stambaugh (1999) show that the cost of equity estimation can be improved in a Bayesian framework; Ang and Liu (2004) discuss a general approach for discounting cashflows with time-varying expected returns.”
International Accounting Standards and Accounting Quality (2008, unknown): “Because we do not have earnings forecasts for most sample firms, we follow the approach in Griffin (2002), Ang and Liu (2004), and Massa, Peyer, and Tong (2004) in estimating expected equity cost of capital using the Fama and French (1993) three-factor model.”
Optimal Decentralized Investment Management (2008, methodology): “In order to determine the unconditional value function, we employ the following lemma proved by Ang and Liu (2004).”
Bayesian Analysis of Stochastic Betas (2005, background): “Furthermore, Ang and Liu (2004) show that beta variation is also essential for cash flow valuation, especially at longer horizons.”