Inferring the Cost of Capital Using the Ohlson-Juettner Model

Topics:
Investment and Capital Markets
Tags:
Correlation,
Finance,
Financial Accounting,
Yale University
Source:
Yale University

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Overview: The paper compares the risk premiums (RP) inferred by relating price to earnings forecasts using the Ohlson-Juettner (OJ 2000) and residual income valuation (RIV) model in three ways: correlation with frequently cited risk factors; correlation with RP estimated by multiplying current realizations of risk factors by coefficients obtained from regressing implied RP in the previous year on risk factors in the previous year; and correlation between ex ante RP and ex post returns.

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Format: PDF | Size: 358KB | Date: Dec 2002 | Pages: 43

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