Vitor G. AzevedoRPTU - Rheinland-Pfälzische Technische Universität Kaiserslautern Landau | TUK · Financial Management
Vitor G. Azevedo
Doctor of Business Administration
About
11
Publications
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164
Citations
Citations since 2017
Introduction
Additional affiliations
January 2015 - July 2017
Publications
Publications (11)
Studies show the inconclusive results regarding the relation between corporate social and environmental responsibility (CSR and CER) and expected returns. We argue that the reason for these mixed results is that the sustainability premium (i.e., the return difference of high-intensity minus low-intensity CSR/CER firms) is time-varying and correlate...
We propose a novel method to forecast corporate earnings, which combines the accuracy of analysts’ forecasts with the unbiasedness of a cross-sectional model. We build on recent insights from the earnings forecasts literature to improve analysts’ forecasts in two ways: reducing their sluggishness with respect to information in recent stock price mo...
This study aims to examine the volume of carbon dioxide (CO2) emissions by lag of the emissions and by the Gross Domestic Product (GDP) for the BRICS (Brazil, Russia, India, China, and South Africa) countries from 1980 to 2011. Due to the heterogeneity of CO2 emission among the BRICS countries, we organized the countries into two groups. In Group 1...
We propose a novel method to forecast corporate earnings which combines the accuracy of analysts' forecasts with the unbiasedness of a mechanical model. Our choice of variables is driven by recent insights from the earnings forecasts literature and the resulting model outperforms all analyzed methods in terms of accuracy, bias, and earnings respons...
The paper investigates the impact of corporate sustainability on asset prices. For that purpose, we develop a novel corporate sustainability factor and test the extent to which this factor is priced in an augmented four-factor version of the traditional Fama & French (1993) asset pricing model. The corporate sustainability factor is based on a zero...
I examine the predictive power of Implied Cost of Capital (ICC) in time-series of expected returns. For that purpose, I develop a time-series approach of Fama-Macbeth in order to evaluate the relation between ICC and expected returns at the firm level. I find that ICC is able to predict returns over time, not only at the aggregate level but also at...
This paper aims to compare the cross-sectional models of earnings forecasts to the analysts' earnings forecasts in the European markets. We introduce the models of Fama and French (2006), Novy-Marx (2013), and Hou et al. (2012). The target of the forecasting methods is to minimize the bias and to have a high forecasting accuracy in comparison to re...
In this paper, we present a combination of three forecast models, ARIMA, exponential smoothing and dynamic regression, in order to predict the West Texas Intermediate (WTI) crude oil spot price and the Brent North Sea (Brent) crude oil spot price. Using samples from the period between January 1994 and June 2012 (in-sample), we identify the paramete...
Projects
Projects (2)
This project aims to evaluate Implied cost of Capital as a proxy for expected returns.
We propose a novel method to forecast corporate earnings which combines the accuracy of analysts' forecasts with the unbiasedness of a mechanical model. Our choice of variables is driven by recent insights from the earnings forecasts literature and the resulting model outperforms all analyzed methods in terms of accuracy, bias, and earnings response coefficient. Furthermore, using our estimates in the implied cost of capital calculation leads to a substantially stronger correlation with realized returns compared to extant mechanical earnings estimates.
