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- 08 Oct 2013
- First Look
First Look: October 8
firm-level expected returns and their valuation impact using two firm fundamentals: book-to-market ratio and ROE. Applying the model to the cross-section of firms, we find that expected returns and expected...
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Sean Silverthorne
- 04 Apr 2017
- First Look
First Look at New Research, April 4
toward less profitable R&D firms. The latter is key to generating higher cash ratios at IPO, necessary for the secular increase, whereas the former mechanism amplifies this effect. The data confirm the prominent role played by...
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Sean Silverthorne
- 08 Jul 2008
- First Look
First Look: July 8, 2008
on five to 10 years of monthly sector returns that are initially drawn from a known multivariate normal distribution. Mean-variance optimization is designed to produce the highest ratio of excess portfolio return to portfolio standard...
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Martha Lagace
- 11 Dec 2012
- First Look
First Look: Dec. 11
reflected in stock prices. Download the paper: https://pubwww.hbs.edu/faculty/Pages/item.aspx?num=43177 Cost of Capital Dynamics Implied by Firm Fundamentals Authors:Lyle, Matthew, and Charles C.Y. Wang Abstract We provide a tractable stock valuation...
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Sean Silverthorne