[  This is a personal non-profit online research library and is solely used by Scott Bryan Hill.  Some of the links on this page lead to outside resources and the presence of these links should not be taken as an endorsement.  ]

A | B | C | D | E | F | G | H | I | J | K | L | M | N | O | P | Q | R | S | T | U | V | W | X | Y | Z

( Symbol Guide )

 [ A ]

 [ B ]

Bubble Has Not Popped, Clifford Asness (Managing Principle), AQR Capital Management LLC, Partial Draft, October 24, 2001.  "There are currently legions of investors, strategist and general pundits saying the stock market is "undervalued."  While some have formal models for this (e.g., the so called "Fed Model" discussed briefly later), the most common observation is simply that stocks have dropped dramatically"  (Valuations | Federal Reserve Stock Valuation Model)

Bubble Logic: Or How to Stop Worrying and Love the Bull Market, Clifford Asness (Managing Principle), AQR Capital Management LLC, Partial Working Paper, June 1,  2000.  "A bull market, and the incentives of those who make their living from bull markets, can create their own form of logic.  This book explores some of the stories that encourage the purchase or retention of stocks and mutual funds and the logic behind the stories." (Valuations | Behavior Finance)

 [ C ]

Comparing NIPA Profits with S&P 500 Profits, Kenneth Petrick, Survey of Current Business, April 2001.  "The users of the national income products account (NIPA's) often compare the growth rates of NIPA profit measures with those of other publicly available profit-type measures, such as Standard & Poor's 500 (S&P 500) earnings." (Valuations | NIPA Profit Measures)

 [ D ]

Demography And The Long-Run Predictability Of The Stock Market, John Geanakoplos, Michael Magill and Martine Quinzii, Cowles Foundation Discussion Paper, August 2002.  "Stock market price/earnings ratios should be influenced by demography.  Since demography is predictable, stock returns should be as well."  (Valuations | Demography)  From:  16-Year Slump?  If So, Blame It on the Boomers,  Mark Hulbert, The New York Times, December 1, 2002.  “A New study of American demographic patterns and the stock market predicts that while the market may rally periodically, its overall direction will be downward until around 2018.” 

 [ E ]

Earnings Growth and Stock Returns, Truman A. Clark, Dimensional Fund Advisor Inc., August 2000.  "Many investors and financial commentators believe that high earnings growth rates and high rates of return are synonymous.  This is false."  (Valuations (Dividend Yields,  Earning Yields and Expected Returns))

Equity Premium, Eugene F. Fama and Kenneth R. French, University of Chicago, April 2001.  “We estimate the earnings premium using dividend and earnings growth rates to measure the expected rate of capital gain.  Our estimates for 1951-2000, 2.55% and 4.32% are much lower than the equity premium produced by the average stock return, 7.43%.”  (Valuations)

Equity Risk Premium Forum, The Association for Investment Management and Research, November 8, 2001.  "Our goal today is to foster a very candid discussion of the many facets of the equity risk premium.  Generally the risk premium is thought of as the incremental return of certain equity market components relative to certain fixed-income components."  (Valuations)

 [ F ]

FRBSF Economic Letter:  Searching for Value in the U.S. Stock Market, The Federal Reserve Bank of San Francisco, Number 2002-16, May 24, 2002.  "The Standard & Poor's (S&P) 500 stock index closed at an all-time high of 1527 on March 24, 2000.  Since then, the index has declined by about 28% to 1097 as of May 14, 2002, roughly where it was four years ago.  Falling stock prices have been accompanied by even larger percentage declines in corporate earnings."  (Valuations | Federal Reserve Stock Valuation Mode)

 [ G ]

 [ H ]

How Does the Market Interpret Analysts’ Long-term Growth Forecasts?, Steven Sharpe, Federal Reserve:  Division of Research and Statistics, Federal Reserve Board, July 5, 2002.  "The long-term growth forecasts of equity analysts do not have well-defined horizons, an ambiguity of substantial import for many applications. I propose an empirical valuation model, derived from the Campbell-Shiller dividend-price ratio model, in which the forecast horizon used by the "market" can be deduced from linear regressions."  (Valuations | Proposal Using Campbell-Shiller Dividend-Price Ratio Model)

How to Avoid the P/E Trap, Alfred Rappaport, The Wall Street Journal, March 10, 2003.  "Despite accounting scandals that raise questions about the quality of corporate earnings reports, and allegations that Wall Street research is tainted by conflicts of interest, investors continue to rely on the price/earnings ratio as the near-universal benchmark to evaluate stocks.  What's wrong with this picture? Plenty."  (Valuations (Price-to-Earnings Ratio))

 [ I ]

 [ J ]

 [ K ]

 [ L ]

 [ M ]

 [ N ]

 [ O ]

 [ P ]

P/E Ratios of the S&P 500, Fortune, October 2002. Chart - “Each tile represents one financial quarter, from 1957 to present.”   (Valuations (Price-to-Earnings Ratio))

 [ Q ]

 [ R ]

Risk and Return in the 20th and 21st Centuries (United Kingdom), Elroy Dimson, Paul Marsh and Mike Staunton, Business Strategy Review, 2000, Volume 11 Issue 2.  "The single most important contemporary issue in finance is the equity risk premium.  This drives future equity returns, and is the key determinant of the cost of capital."  (Valuations (Price-to-Earnings Ratio))

 [ S ]

 [ T ]

Trouble with Earnings and Price/Earnings Multiples, Alfred Rappaport and Michael J. Mauboussin, Harvard Business Review, 2001.  “Wall Street is a world filled with rules of thumb and shortcuts.  And while the objective of these shortcuts is to save time-ostensibly to improve investment performance-they are fraught with severe and crippling shortcomings.  How do we know the market is long-term oriented?  Why do investors focus on earnings?”  (Valuations (Long-Term Cash Flow (Discounted by the Cost of Capital) Determine Stock Prices))

 [ U ]

Unreal Expectations?, Michael Santoli, Barron’s, April 21, 2003.  "During three years’ worth of anxious nights since the stock market turned ugly, one soothing notion has helped comfort investors: that over the long term, stocks have returned about 10% a year and have always rewarded the patient portfolio.  That's true. But like the Bible verse promising a life span of three score and 10 years, it's a rough guideline describing a broad pattern, not a rule applicable to every time and place. And, unfortunately, unlike human life expectancy, the expected returns from stocks are likely to be lower in the years to come."  (Valuations)

US 2000-2002 Market Descent:  How Much Longer and Deeper, Didier Sornette and Wei-Xing, University of California, September 2002.  "A remarkable similarity in the behavior of the US S&P 500 index from 1996 to August 2002 and of the Japanese Nikkei index from 1985 to 1992 (11 years shift) is presented, with particular emphasis on the structure of the bearish phases.  Extending a previous analysis of the Johansen and Sornette [1999, 2000] on the Nikkei index "anti-bubble" based on a theory of cooperative herding and imitation working both in bullish as well as bearish regimes." (Market History | Predictive Model)

 [ V ]

  Valuations Ratios and the Long-Run Stock Market Outlook, Robert J. Shiller and John Y. Campbell , The Journal of Portfolio Management, Winter 1999. (Valuation | Shiller)

  Valuations Ratios and the Long-Run Stock Market Outlook: An Update, Robert J. Shiller, Cowles Foundation Discussion Paper (Yale University), Summer 2001.  (Valuation | Shiller)

 [ W ]

 [ X ]

 [ Y ]

 [ Z ]