题 目：Predicting Market Returns Using Aggregate Implied Cost of Capital

报告人：Yan Li, Cornell University

时 间：2013年1月18日（周五）10:00-11:30

地 点：成人直播新楼217室

Abstract: Theoretically the market-wide implied cost of capital (ICC) is a good proxy for time-varyingexpected returns. We fi nd that the implied cost of capital strongly predicts future excess marketreturns ranging from one month to four years. This predictive power persists even in the presenceof popular valuation ratios and business cycle variables, both in-sample and out-of-sample, and isrobust to alternative implementations. Our result introduces ICC as a new forecasting variableto the stock market predictability literature and validates ICC as a good measure for expectedreturns.