Long-Term Discount Rates Do Not Vary Across Firms

dc.contributorAalto-yliopistofi
dc.contributorAalto Universityen
dc.contributor.authorKeloharju, Mattien_US
dc.contributor.authorLinnainmaa, Juhani T.en_US
dc.contributor.authorNyberg, Peteren_US
dc.contributor.departmentDepartment of Financeen
dc.contributor.organizationDartmouth Collegeen_US
dc.date.accessioned2022-02-09T06:51:24Z
dc.date.available2022-02-09T06:51:24Z
dc.date.embargoinfo:eu-repo/date/embargoEnd/2023-05-04en_US
dc.date.issued2021-09en_US
dc.description.abstractLong-term expected returns do not appear to vary in the cross section of stocks. We show that even negligible persistent differences in expected returns, if they existed, would be easy to detect. Markers of such differences, however, are absent from actual stock returns. Our results are consistent with behavioral models and production-based asset pricing models in which firms’ risks change over time. Consistent with the lack of long-term differences in expected returns, persistent differences in firm characteristics do not predict the cross section of stock returns. Our results imply that stock market anomalies have only a limited effect on firm valuations.en
dc.description.versionPeer revieweden
dc.format.extent22
dc.format.extent946-967
dc.format.mimetypeapplication/pdfen_US
dc.identifier.citationKeloharju, M, Linnainmaa, J T & Nyberg, P 2021, ' Long-Term Discount Rates Do Not Vary Across Firms ', Journal of Financial Economics, vol. 141, no. 3, pp. 946-967 . https://doi.org/10.1016/j.jfineco.2021.04.031en
dc.identifier.doi10.1016/j.jfineco.2021.04.031en_US
dc.identifier.issn0304-405X
dc.identifier.otherPURE UUID: 823565f2-4e5a-4426-a274-8941ae4147e3en_US
dc.identifier.otherPURE ITEMURL: https://research.aalto.fi/en/publications/823565f2-4e5a-4426-a274-8941ae4147e3en_US
dc.identifier.otherPURE LINK: http://www.scopus.com/inward/record.url?scp=85107115405&partnerID=8YFLogxKen_US
dc.identifier.otherPURE FILEURL: https://research.aalto.fi/files/53210438/LongTerm.pdfen_US
dc.identifier.urihttps://aaltodoc.aalto.fi/handle/123456789/112944
dc.identifier.urnURN:NBN:fi:aalto-202202091837
dc.language.isoenen
dc.publisherElsevier
dc.relation.ispartofseriesJournal of Financial Economicsen
dc.relation.ispartofseriesVolume 141, issue 3en
dc.rightsopenAccessen
dc.subject.keywordFactorsen_US
dc.subject.keywordReturn predictabilityen_US
dc.subject.keywordMarket efficiencyen_US
dc.subject.keywordProduction-based asset pricing modelsen_US
dc.subject.keywordTime-varying risksen_US
dc.titleLong-Term Discount Rates Do Not Vary Across Firmsen
dc.typeA1 Alkuperäisartikkeli tieteellisessä aikakauslehdessäfi
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