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Discussion of 'Valuation: Accounting for Risk and the Expected Return'

Abacus Forthcoming

14 Pages Posted: 20 Jan 2016  

Date Written: January 20, 2016

Abstract

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

Lyle, Matthew R., Discussion of 'Valuation: Accounting for Risk and the Expected Return' (January 20, 2016). Abacus Forthcoming. Available at SSRN: https://ssrn.com/abstract=2718947 or http://dx.doi.org/10.2139/ssrn.2718947

Matthew Lyle (Contact Author)

Northwestern University - Kellogg School of Management ( email )

2001 Sheridan Road
Evanston, IL 60208
United States

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