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• W47490671 abstract "We apply the methodology of Knez and Ready (KR 1997) to data from the Japanese stock market and reexamine the robustness of the risk premium for the market value of equity (MVE). In particular, we compare two alternative explanations for the relation between stock returns and MVE: the one pointed out by Fama and French (FF 1992) and the other proposed by Berk (1995). Consistent with results for the US market, when we check FF's explanation for MVE, we find that the risk premium for MVE is not robust against extreme observations. Besides the evidence supporting KR's findings, we study the role of MVE proposed by Berk (1995), who points out that under controlled expected cash flows, MVE will be negatively correlated with expected returns. After showing that MVE negatively correlates with risk in the presence of expected cash flows, we test the robustness of the relation between returns and MVE. We find that the estimated risk premium for MVE is robust when realized cash flows (earnings plus depreciation) or book value of equity (BE) is used as a proxy for expected cash flows." @default.
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• W47490671 date "2000-12-19" @default.
• W47490671 modified "2023-09-23" @default.
• W47490671 title "Reexamining the Robustness of the Market Value of Equity" @default.
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