| Record ID | harvard_bibliographic_metadata/ab.bib.09.20150123.full.mrc:188370127:1406 |
| Source | harvard_bibliographic_metadata |
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LEADER: 01406nam a2200217Ka 4500
001 009185195-5
005 20030906140744.0
008 021031s2003 mau b 000 0 eng d
035 0 $aocm50908325
040 $aHBS$cHBS
100 1 $aHecht, Peter.
245 14 $aThe cross section of expected firm (not equity) returns /$cPeter Hecht.
260 $a[Boston] :$bDivision of Research, Harvard Business School,$cc2003.
300 $a14, iii p. ;$c28 cm.
490 1 $aWorking paper / Division of Research, Harvard Business School ;$v03-044
520 $aThis paper provides the first comprehensive study of expected firm (unlevered equity) returns. After accounting for the debt component of the firm return, I find that many of the cross sectional determinants of expected equity returns, such as the book-to-market ratio (value) and recent past equity returns (momentum), are substantially less powerful in explaining expected firm returns. In general, my results suggest that Modigliani and Miller (1958) capital structure effects, not the pricing of the firm's entire asset base, play a major role in understanding many asset pricing regularities observed in the equity markets.
504 $aIncludes bibliographical references.
710 2 $aHarvard Business School.$bDivision of Research.
830 0 $aWorking paper (Harvard Business School. Division of Research) ;$v03-044.
988 $a20030906
906 $0MH