Fama French factors: the market, SMB, HML.

Other factors: UMD, CMA, RMW

𝐸(𝑃1 ) − 𝑃0 + 𝐸(𝐷𝑖𝑣1 ) 𝐸(𝑃1 ) − 𝑃0 𝐸(𝐷𝑖𝑣1 )
𝐸𝑥𝑝𝑒𝑐𝑡𝑒𝑑 𝐻𝑃𝑅 = 𝐸(𝑟) = = +
𝑃0 𝑃0 𝑃0
𝐸(𝑃1 ) + 𝐸(𝐷𝑖𝑣1 ) 𝐷1 + 𝑃1
𝑉0 = =
1+𝑘 1+𝑘
𝐷1 𝐷2 𝐷𝐻 + 𝑃𝐻
𝑉0 = + + ⋯ +
1 + 𝑘 (1 + 𝑘)2 (1 + 𝑘)𝐻
𝐷0 (1 + 𝑔) 𝐷0 (1 + 𝑔)2 𝐷1
𝑉0 = + 2
+⋯=
(1 + 𝑘) (1 + 𝑘) 𝑘−𝑔
𝐶𝐹𝐻+1
𝐶𝐹1 𝐶𝐹2 𝐶𝐹𝐻 + 𝑟 − 𝑔
𝑉0 = + 2
+ ⋯+ 𝐻
1+𝑟 (1 + 𝑟) (1 + 𝑟)
𝐹𝐶𝐹𝐹 = 𝐸𝐵𝐼𝑇(1 − 𝑡𝐶 ) 𝐹𝐶𝐹𝐸 = 𝐹𝐶𝐹𝐹
+ 𝐷𝑒𝑝𝑟𝑒𝑐𝑖𝑎𝑡𝑖𝑜𝑛 − 𝐼𝑛𝑡𝑒𝑟𝑒𝑠𝑡 𝐸𝑥𝑝𝑒𝑛𝑠𝑒(1 − 𝑡𝑐 )
− 𝐶𝑎𝑝𝑖𝑡𝑎𝑙 𝐸𝑥𝑝𝑒𝑛𝑑𝑖𝑡𝑢𝑟𝑒𝑠 + 𝐼𝑛𝑐𝑟𝑒𝑎𝑠𝑒 𝑖𝑛 𝑁𝑒𝑡 𝐷𝑒𝑏𝑡
− 𝐼𝑛𝑐𝑟𝑒𝑎𝑠𝑒 𝑖𝑛 𝑁𝑒𝑡 𝑊𝑜𝑟𝑘𝑖𝑛𝑔 𝐶𝑎𝑝𝑖𝑡𝑎𝑙

𝐸 𝐷
𝑊𝐴𝐶𝐶 = 𝑅𝐸 + 𝑅𝐷 (1 − 𝑡𝐶 )
𝑉 𝑉
𝛽 𝐷𝐹𝑜𝑟𝑒𝑐𝑎𝑠𝑡
𝛽𝐿∗ = × [1 + ( ) (1 − 𝑡𝑐 )]
𝐷 𝐸𝐹𝑜𝑟𝑒𝑐𝑎𝑠𝑡
1 + ( 𝑎𝑐𝑡𝑢𝑎𝑙 ) (1 − 𝑡𝑐 )
𝐸𝑎𝑐𝑡𝑢𝑎𝑙
𝐼𝑚𝑝𝑙𝑖𝑒𝑑 𝑃𝑟𝑖𝑐𝑒𝑓𝑖𝑟𝑚 = 𝑃/𝐸𝑐𝑜𝑚𝑝𝑠 × 𝐸𝑃𝑆𝑓𝑖𝑟𝑚
𝐶𝑢𝑟𝑟𝑒𝑛𝑡 𝑃𝐸𝐹𝑖𝑟𝑚
𝑅𝑒𝑙𝑎𝑡𝑖𝑣𝑒 𝑃/𝐸 =
𝐶𝑢𝑟𝑟𝑒𝑛𝑡 𝑃𝐸𝑀𝑎𝑟𝑘𝑒𝑡
𝑃𝐸𝐹𝑖𝑟𝑚
𝑃𝐸𝐺 =
𝐸𝑥𝑝𝑒𝑐𝑡𝑒𝑑 𝐸𝑎𝑟𝑛𝑖𝑛𝑔𝑠 𝐺𝑟𝑜𝑤𝑡ℎ 𝑅𝑎𝑡𝑒 × 100
1
𝐶𝑜𝑢𝑝𝑜𝑛 𝑃𝑎𝑦𝑚𝑒𝑛𝑡𝑠 𝑃𝑎𝑟 𝑉𝑎𝑙𝑢𝑒 1−( )
(1+𝑟)𝑡
𝐵𝑜𝑛𝑑 𝑉𝑎𝑙𝑢𝑒 = ∑𝑇𝑡=1 + & 𝑃𝑉𝑎𝑛𝑛𝑢𝑖𝑡𝑦 = 𝑃𝑀𝑇 ×
(1+𝑟)𝑡 (1+𝑟)𝑇 𝑟

𝐼𝑛𝑡𝑒𝑟𝑒𝑠𝑡 𝐼𝑛𝑐𝑜𝑚𝑒 + 𝐵𝑜𝑛𝑑 𝑃𝑟𝑖𝑐𝑒𝑁𝑒𝑤 − 𝐵𝑜𝑛𝑑 𝑃𝑟𝑖𝑐𝑒𝑂𝑙𝑑

𝐻𝑃𝑅 =
𝐵𝑜𝑛𝑑 𝑃𝑟𝑖𝑐𝑒𝑂𝑙𝑑
𝐶𝐹𝑡 /(1 + 𝑦)𝑡
𝑤𝑡 =
𝐵𝑜𝑛𝑑 𝑃𝑟𝑖𝑐𝑒
𝑇

𝐷 = ∑ 𝑡 × 𝑤𝑡
𝑡=1