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    Can analysts predict stock returns? implied cost of capital and value-to-price ratio in international capital markets

    Esterer, F. and Schröder, David (2012) Can analysts predict stock returns? implied cost of capital and value-to-price ratio in international capital markets. Working Paper. Birkbeck, University of London, London, UK.

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    Abstract

    This study demonstrates that analysts can help to predict the cross-section of stock returns across international capital markets. Analyst estimates are captured by implied cost of capital (ICC) and the value-to-price (V/P) ratio, two risk and valuation measures derived from analyst forecasts. This paper shows that both measures can explain the cross-section of stock returns beyond the risk-return trade-off implied by standard asset pricing models. However, the predictive power of ICC and V/P ratio varies across countries. Analysts are most valuable in France, Japan and the United States, whereas they are only marginally useful in Germany and Italy.

    Metadata

    Item Type: Monograph (Working Paper)
    Keyword(s) / Subject(s): analyst forecasts, implied cost of capital, value-to-price ratio, international equity markets, market efficiency
    School: Birkbeck Schools and Departments > School of Business, Economics & Informatics > Economics, Mathematics and Statistics
    Depositing User: Sarah Hall
    Date Deposited: 28 Apr 2014 13:11
    Last Modified: 11 Oct 2016 11:59
    URI: http://eprints.bbk.ac.uk/id/eprint/9622

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