Discussion of 'Valuation: Accounting for Risk and the Expected Return'
14 Pages Posted: 20 Jan 2016
Date Written: January 20, 2016
In this article I discuss Penman (2016), titled “Valuation: Accounting for Risk and the Expected Return.” Penman (2016) is important because it offers potential insights that can help us understand why the book-to-market ratio and other accounting-based variables may impact expected stock returns. It does so by considering the way accounting systems measure assets and income and how these systems deal with risk. My discussion mainly focuses on what Penman calls “Accounting for Risk” and the role of log-linear models in valuation.
Keywords: Valuation, Expected Stock Returns
Suggested Citation: Suggested Citation