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Asian Review of Financial Research, Vol., No..
pp.758~793
pp.758~793
A New Approach to Growth Rate
Seung Youn Cha Seoul National University, Korea
Joon Chae Seoul National University, Korea
This paper adapts macro economic growth models to asset pricing and tries to understand the link between asset returns and firm level economic changes. This paper places emphasis on firm level macro economic variables. We attempt to use accounting data of each firm in the context of macro economic growth models. The work expects the difference of implied and estimated growth rate of a firm is useful signal for the current stock value. The model performs about as well as Fama-French 3 Factor Model. The paper suggests macro economic growth models for growth estimation.
Seung Youn Cha
Joon Chae
This paper adapts macro economic growth models to asset pricing and tries to understand the link between asset returns and firm level economic changes. This paper places emphasis on firm level macro economic variables. We attempt to use accounting data of each firm in the context of macro economic growth models. The work expects the difference of implied and estimated growth rate of a firm is useful signal for the current stock value. The model performs about as well as Fama-French 3 Factor Model. The paper suggests macro economic growth models for growth estimation.
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