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- W2891003726 abstract "Most previous research tests market efficiency and asset pricing models using average abnormal trading profits on dynamic trading strategies, and typically rejects the joint hypothesis. In contrast, we measure the ability of a simple risk model and the efficient-market hypothesis to explain the level of stock prices. First, we find that cash-flow betas (measured by regressing firms' earnings on the market's earnings) explain the prices of value and growth stocks well, with a plausible premium. Second, we use a present-value model to decompose the cross-sectional variance of firms' price-to-book ratios into two components due to risk-adjusted fundamental value and mispricing. When we allow the discount rates to vary with cash-flow betas, the variance share of mispricing is negligible." @default.
- W2891003726 created "2018-09-27" @default.
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- W2891003726 date "2003-12-01" @default.
- W2891003726 modified "2023-10-16" @default.
- W2891003726 title "The Price is (Almost) Right" @default.
- W2891003726 doi "https://doi.org/10.3386/w10131" @default.
- W2891003726 hasPublicationYear "2003" @default.
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