拉斯维加斯9888

题 目：Predicting Market Returns Using Aggregate Implied Cost of Capital

汇报人：Yan Li, Cornell University

时 间：2013年1月18日（周五）10:00-11:30

地 点：拉斯维加斯9888新楼217室

Abstract:Theoretically the market-wide implied cost of capital (ICC) is a good proxy for time-varying expected returns. We fi nd that the implied cost of capital strongly predicts future excess market returns ranging from one month to four years. This predictive power persists even in the presence of popular valuation ratios and business cycle variables, both in-sample and out-of-sample, and is robust to alternative implementations. Our result introduces ICC as a new forecasting variable to the stock market predictability literature and validates ICC as a good measure for expected returns.