Equity Valuation reviews and critically examines the standard
approach to equity valuation using a constant risk-adjusted cost of
capital and develops a new valuation approach discounting
risk-adjusted fundamentals using nominal zero-coupon interest
rates. Equity Valuation is organized as follows. Chapter 2
(Risk-adjusted Discount Rates) reviews standard valuation models
based on risk-adjusted discount rates. Chapter 3 (Multi-period
Asset Pricing Theory and Accounting Relations) examines key results
from multi-period asset pricing theory in discrete-time, and shows
how equity valuation models can equivalently be based on free cash
flows or accrual accounting numbers. Based on these results, the
authors derive an accounting-based multi-period equity valuation
model presented in Chapter 4 (An Accounting-based Multi-period
Equity Valuation Model) with equilibrium risk-adjustments
determined by prices of aggregate consumption claims. Chapter 5
(Equity Valuation with HARA Utility) includes a general equilibrium
analysis of a setting in which the investors have HARA utility, and
aggregate consumption and residual operating income are jointly
normally distributed. A set of appendices follows including
Appendix B that extends the setting to preferences with external
habit formation (which recently has gained popularity in asset
pricing theory), and Appendix C, which discusses the relationship
between risk-adjusted expected cash flows and certainty
equivalents.
General
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