Investor growth expectations

Weide, James H. Vander; Carleton, Willard T.

doi:10.3905/jpm.1988.409159

Cited by 19 publications

(7 citation statements)

References 6 publications

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“…Since GSB is, for the sample companies, a part of the appropriate proxy for g, the results indicate that an estimate comprised wholly of FAF's is preferable to one based solely on historical growth rates, or a combination of historical growth rates and FAF's. These findings are consistent with those in [8,37]. However Newbold, Zumwalt, and Kannan [30] compared ARIMA model forecasts to Value Line's, and found that combining forecasts increased forecasting ability.…”

Section: E Financial Analysts' Forecast Vs Historical Growthsupporting

confidence: 88%

“…In Equation (2), RISKi is the ith measure of risk associated with the cost of equity k, and E is an error term. Malkiel [27] and more recently Vander Weide and Carleton [37,38] found that the linear specification in Equation (2) is a fairly robust approximation of the true nonlinear price-earning ratio model which can be derived from Equation (1) and, therefore, is useful for examining alternative proxies for growth. The specific measures of risk used in Equation (2) are discussed in Section II.…”

Section: B the Modelmentioning

confidence: 98%

“…Finally, the historical growth rate GHD5 is included to provide additional insights into the use of analysts' versus historical growth rates. See also [8,29,30,37,38] for an examination of the use of historical growth rates to estimate the cost of equity.…”

Section: B the Modelmentioning

confidence: 99%

“…In comparing the relative informational content of FAF's, this adds to previous research (e.g., [8,30,37,38]) that has to date only examined the use of FAF's versus historical growth rates as estimates of the growth rate in the constant growth model. For completeness, historical growth estimates are also examined.…”

mentioning

confidence: 97%

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On the Use of Consensus Forecasts of Growth in the Constant Growth Model: The Case of Electric Utilities

Timme¹,

Eisemann²

1989

Financial Management

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Section: E Financial Analysts' Forecast Vs Historical Growthsupporting

confidence: 88%

Section: B the Modelmentioning

confidence: 98%

Section: B the Modelmentioning

confidence: 99%

mentioning

confidence: 97%

See 2 more Smart Citations

On the Use of Consensus Forecasts of Growth in the Constant Growth Model: The Case of Electric Utilities

Timme¹,

Eisemann²

1989

Financial Management

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show abstract

“…Teme brojnih radova odnosile su se na ispitivanje istorijskog rasta zarada (Brealey, 1983;Beaver, 1970;Ball, & Watts, 1972), procenjivanje uspešnosti stopa rasta dobijenih od analitičara (Cragg, & Malkiel, 1968;Lee, Myers, & Swaminathan, 1999;Claus, & Thomas, 2001;Gebhardt, Lee, & Swaminathan, 2001), komparacije uspešnosti stopa rasta dobijenih na bazi istorijskih vremenskih serija i stopa rasta dobijenih na osnovu prognoze analitičara (Chrichfield, Dyckman, & Lakonishok, 1978;O'Brien, 1988;Vander Weide, & Carleton, 1988), kao i utvrđivanje najboljeg metoda za prognoziranje stopa rasta (Chan, Karceski, & Lakonishok, 2003).…”

Section: Uvodunclassified

Determination of growth rates as an input of the stock discount valuation models

Momčilović¹,

Vlaović-Begović²,

Ercegovac³

2013

Skola biznisa

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Equity risk premium and time horizon: What do the U.S. secular data say?

Prat

2013

Economic Modelling

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An ex-ante equity risk premium is the difference between the expected return of a risky asset at time t for a given future time horizon and an equivalent maturity risk-free interest rate. Using annual US secular data from 1871 to 2008, this study aims to model simultaneously the measures and the explanations of ex-ante equity risk premia for two polar horizons: the one period ahead horizon (i.e. the "short term" premium) and the infinite time horizon (i.e. the "long term" premium). Expectations being represented by traditional adaptive processes, large disparities in the dynamics of the two premia are evidenced. According to the conditional CAPM, each premium is at time t explained by the product of the price of risk by the expected variance of returns, these two magnitudes being horizon dependant. The expected variances depend on the past values of the centered squared returns (we found 5 and 8 years for the one year and the infinite horizon, respectively). For each horizon, the price of risk is determined by a spread of interest rates capturing economic factors of uncertainty and by an unobservable variable determined according to the kalman filter methodology (i.e. a state variable). The state variables are supposed to capture the influence of hidden variables and of non directly measurable psychological effects. The model gives a valuable representation of the "short term" and "long term" premia. Résumé-Une prime de risque ex-ante est définie par la différence entre la rentabilité anticipée à la date t d'un actif risqué pour un horizon de placement donné, et le taux d'intérêt d'un titre de créance sans risque ayant une maturité égale à cet horizon. En utilisant les données séculaires annuelles américaines sur la période 1871-2008, cet article a pour objectif de modéliser simultanément les mesures et les explications des primes de risque ex-ante des actions pour deux horizons pôlaires : l'horizon d'une période (« prime « de court terme ») et horizon infini (prime « de long terme »). Les anticipations étant représentées par des processus adaptatifs traditionnels, on constate des différences importantes entre ces deux primes au cours de la période. Suivant le MEDAF conditionnel, à la date t, chaque prime est expliquée par le prix du risque multiplié par la variance anticipée des rentabilités, ces grandeurs étant paramétrées par l'horizon. Les variances anticipées sont supposées dépendre des valeurs passées du carré des rentabilités centrées (on trouve une durée de 5 ans et 8 ans pour la prime de court terme et la prime de long terme, respectivement). Pour chaque horizon, le prix du risque est déterminé par un « spread » de taux d'intérêt capturant les facteurs économiques de l'incertitude et par une variable inobservable déterminée suivant la méthode du filtre de Kalman (i.e. une variable d'état). Les variables d'état sont supposées capturer à la fois les influences de variables cachées et d'effets psychologiques non directement mesurables. Le modèle donne une représentation valable des primes de court et de lon...

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Investor growth expectations

Cited by 19 publications

References 6 publications

On the Use of Consensus Forecasts of Growth in the Constant Growth Model: The Case of Electric Utilities

On the Use of Consensus Forecasts of Growth in the Constant Growth Model: The Case of Electric Utilities

Determination of growth rates as an input of the stock discount valuation models

Equity risk premium and time horizon: What do the U.S. secular data say?

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