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- W3021598678 abstract "We argue that the implied cost of capital (ICC), computed using earnings forecasts, is useful in capturing time variation in expected stock returns. First, we show theoretically that ICC is perfectly correlated with the conditional expected stock return under plausible conditions. Second, our simulations show that ICC is helpful in detecting an intertemporal risk–return relation, even when earnings forecasts are poor. Finally, in empirical analysis, we construct the time series of ICC for the G–7 countries. We find a positive relation between the conditional mean and variance of stock returns, at both the country level and the world market level." @default.
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- W3021598678 date "2008-11-11" @default.
- W3021598678 modified "2023-10-18" @default.
- W3021598678 title "Estimating the Intertemporal Risk-Return Tradeoff Using the Implied Cost of Capital" @default.
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- W3021598678 doi "https://doi.org/10.1111/j.1540-6261.2008.01415.x" @default.
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