The asset pricing palette: Cash flows, returns and trading behavior

Research output: Contribution to journalArticle

Abstract

Asset pricing is the topic of the 2001 Eastern Finance Association Symposium and the five papers selected for this collection, which are summarized below, span a broad range of subjects that fall under the umbrella of the determinants of market prices. For example, the Schwartz and Moon article that introduces the symposium uses real options methodology to value firms whose cash flows are subject to multiple sources of uncertainty while the Luders and Peisl and Mixon analytical models that close the selections incorporate dual stochastic processes to derive relationships between information flow, trading volume and price volatility that are consistent with empirical evidence. In between, Mishra and O’Brien present new evidence on the important of index and factor selection when estimating the required return on equity and Spahr and Schwebach revisit the issue of time diversification by reintroducing a statistical construct from earlier times. Each of the works included here makes an important contribution to our understanding of the asset pricing process in a distinct area and opens new doors onto avenues for future research.

Original languageEnglish (US)
Pages (from-to)1-6
Number of pages6
JournalFinancial Review
Volume36
Issue number4
DOIs
StatePublished - Jan 1 2001

Fingerprint

Asset pricing
Cash flow
Symposium
Trading behavior
Return on equity
Diversification
Real options
Stochastic processes
Price volatility
Information flow
Empirical evidence
Market price
Methodology
Trading volume
Finance
Analytical model
Factors
Uncertainty
Firm value

Keywords

  • Asset pricing
  • Cost of equity
  • Stochastic processes
  • Time diversification

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

Cite this

The asset pricing palette : Cash flows, returns and trading behavior. / Heuson, Andrea.

In: Financial Review, Vol. 36, No. 4, 01.01.2001, p. 1-6.

Research output: Contribution to journalArticle

@article{c0c849f066bb4ee485a11ddb844a4ea9,
title = "The asset pricing palette: Cash flows, returns and trading behavior",
abstract = "Asset pricing is the topic of the 2001 Eastern Finance Association Symposium and the five papers selected for this collection, which are summarized below, span a broad range of subjects that fall under the umbrella of the determinants of market prices. For example, the Schwartz and Moon article that introduces the symposium uses real options methodology to value firms whose cash flows are subject to multiple sources of uncertainty while the Luders and Peisl and Mixon analytical models that close the selections incorporate dual stochastic processes to derive relationships between information flow, trading volume and price volatility that are consistent with empirical evidence. In between, Mishra and O’Brien present new evidence on the important of index and factor selection when estimating the required return on equity and Spahr and Schwebach revisit the issue of time diversification by reintroducing a statistical construct from earlier times. Each of the works included here makes an important contribution to our understanding of the asset pricing process in a distinct area and opens new doors onto avenues for future research.",
keywords = "Asset pricing, Cost of equity, Stochastic processes, Time diversification",
author = "Andrea Heuson",
year = "2001",
month = "1",
day = "1",
doi = "10.1111/j.1540-6288.2001.tb00026.x",
language = "English (US)",
volume = "36",
pages = "1--6",
journal = "Financial Review",
issn = "0732-8516",
publisher = "Wiley-Blackwell",
number = "4",

}

TY - JOUR

T1 - The asset pricing palette

T2 - Cash flows, returns and trading behavior

AU - Heuson, Andrea

PY - 2001/1/1

Y1 - 2001/1/1

N2 - Asset pricing is the topic of the 2001 Eastern Finance Association Symposium and the five papers selected for this collection, which are summarized below, span a broad range of subjects that fall under the umbrella of the determinants of market prices. For example, the Schwartz and Moon article that introduces the symposium uses real options methodology to value firms whose cash flows are subject to multiple sources of uncertainty while the Luders and Peisl and Mixon analytical models that close the selections incorporate dual stochastic processes to derive relationships between information flow, trading volume and price volatility that are consistent with empirical evidence. In between, Mishra and O’Brien present new evidence on the important of index and factor selection when estimating the required return on equity and Spahr and Schwebach revisit the issue of time diversification by reintroducing a statistical construct from earlier times. Each of the works included here makes an important contribution to our understanding of the asset pricing process in a distinct area and opens new doors onto avenues for future research.

AB - Asset pricing is the topic of the 2001 Eastern Finance Association Symposium and the five papers selected for this collection, which are summarized below, span a broad range of subjects that fall under the umbrella of the determinants of market prices. For example, the Schwartz and Moon article that introduces the symposium uses real options methodology to value firms whose cash flows are subject to multiple sources of uncertainty while the Luders and Peisl and Mixon analytical models that close the selections incorporate dual stochastic processes to derive relationships between information flow, trading volume and price volatility that are consistent with empirical evidence. In between, Mishra and O’Brien present new evidence on the important of index and factor selection when estimating the required return on equity and Spahr and Schwebach revisit the issue of time diversification by reintroducing a statistical construct from earlier times. Each of the works included here makes an important contribution to our understanding of the asset pricing process in a distinct area and opens new doors onto avenues for future research.

KW - Asset pricing

KW - Cost of equity

KW - Stochastic processes

KW - Time diversification

UR - http://www.scopus.com/inward/record.url?scp=85040409638&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=85040409638&partnerID=8YFLogxK

U2 - 10.1111/j.1540-6288.2001.tb00026.x

DO - 10.1111/j.1540-6288.2001.tb00026.x

M3 - Article

AN - SCOPUS:85040409638

VL - 36

SP - 1

EP - 6

JO - Financial Review

JF - Financial Review

SN - 0732-8516

IS - 4

ER -