Understanding Risk and Return

Campbell, John C.

doi:10.3386/w4554

Cited by 176 publications

(352 citation statements)

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“…Tobin's q is calculated as: {[Market value of common stock + Book value of preferred stock + Book value of long-term debt + Book value of current liabilities -(Book value of current assets -Book value of Inventories)]/Book value of total assets}. In particular, we use industry-adjusted Tobin's q (the natural log of firm's q divided by the median q in the firm's industry) instead of levels of Tobin's q as a measure of firm value (Campbell, 1996). The advantage of using industry-adjusted Tobin's q (ADJTOBINQ) is that it neutralizes the effect of specific industries on Tobin's q.…”

Section: Measurementmentioning

confidence: 99%

Corporate Governance and Firm Value: The Impact of Corporate Social Responsibility

2011

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Section: Measurementmentioning

confidence: 99%

Corporate Governance and Firm Value: The Impact of Corporate Social Responsibility

2011

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“…In particular, we use industry-adjusted Tobin's q (the natural log of firm's q divided by the median q in the firm's industry) instead of levels of Tobin's q as a measure of firm value (Campbell, 1996). The advantage of using industry-adjusted Tobin's q (ADJTOBINQ) is that it neutralizes the effect of specific industries on Tobin's q.…”

Section: Measurement Of Variablesmentioning

confidence: 99%

“…List of the strength, concern, and exclusionary items in the KLD database The natural log of firm's q divided by the median q in the firm's industry [Campbell (1996) Log of sum of total blockholdings (5% or more) % Of institutional ownership [PCTINSTI] Percentage of institutional share ownerships (CDA/ Spectrum 13(f) filing) Log (number of analysts + 1)…”

Section: Appendix Amentioning

confidence: 99%

Corporate Governance and CSR Nexus

2011

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“…In fact, the unconditional CAPM is usually rejected in empirical tests. See, e.g., Breeden, Gibbons and Litzenberger (1989) and Campbell (1996).…”

Section: Approximation To the Theorymentioning

confidence: 98%

On user costs of risky monetary assets

Barnett

2005

Annals of Finance

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We extend the monetary-asset user-cost risk adjustment of Barnett, Liu and Jensen (1997) and their risk-adjusted Divisia monetary aggregates to the case of multiple non-monetary assets and intertemporal non-separability. Our model can generate potentially larger and more accurate CCAPM user-cost risk adjustments than those found in Barnett, Liu and Jensen (1997). We show that the risk adjustment to a monetary asset’s user cost can be measured easily by its beta. We show that any risky non-monetary asset can be used as the benchmark asset, if its rate of return is adjusted in accordance with our formula. These extensions could be especially useful, when own rates of return are subject to exchange rate risk, as in Barnett (2003). Copyright Springer-Verlag Berlin Heidelberg 2005User costs, Monetary aggregation, Risk, Pricing kernel, CAPM, E41, G12, C43, C22,

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Understanding Risk and Return

Cited by 176 publications

References 0 publications

Corporate Governance and Firm Value: The Impact of Corporate Social Responsibility

Corporate Governance and Firm Value: The Impact of Corporate Social Responsibility

Corporate Governance and CSR Nexus

On user costs of risky monetary assets

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