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Title Including cash-flow risk in stock return analysis
Author West, Janet
Department Department of Economics and Business
Institution Colorado College
Degree Type bachelor
Degree Name Bachelor of Arts
Type of Resource text
Digital Origin reformatted digital
Date Accepted 2009
Date Digitized 2009
Abstract Despite their prominent place in financial theory and practice, the Capital Asset Pricing Model and beta have failed test after test to explain stock returns. Research by John Y. Campbell and Tuomo Vuolteenaho in "Bad Beta, Good Beta" cite the misspecification of beta as the reason for this failure. They measure beta as the sum of two components: a more influential "cash-flow" beta and a secondary "discount-rate" beta. This thesis creates a ratio between the overall beta of a stock and the cash-flow beta and uses an ordinary least squares regression model to determine its significance in interpreting overall returns to a stock. It hypothesizes that this ratio will better explain returns than overall beta alone, offering improvements for both investors and financial managers alike.
Keywords CAPM
Beta
Cash-flow
Rights Statement Copyright restrictions apply. Contact the author for permission to publish.
Extent 65 p. : ill. ; 29 cm.
Note (thesis) Senior Thesis -- Colorado College
Note (bibliography) Bibliography : p. 63-65
Language eng
OCLC Identifier 436881040
Handle http://hdl.handle.net/10176/coccc:1345
 
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Created: Fri, 20 Nov 2009, 09:04:27 MST Detailed History