Illiquidity measures appear to be related to monthly realized returns but do they impact long-run costs of capital (CoC) for firms? Using U.S. data, we find cross-sectional evidence that, controlling for market capitalization, the Amihud (2002) measure of illiquidity is negatively related to CoC...

Managerial Entrenchment means that management control a significant portion of the equity in the firm and his/her actions is inconsistent with maximizing aim of the Institute. This research examined the impact of managerial entrenchment on cost of capital stock by analyzing of changes in levels....

This paper uses analysts' forecasts to estimate a share's equity duration, a measure of a company's average cash-flow maturity. We find that short duration equity is associated with high expected and realized returns, which cannot be attributed to the shares' systematic risk exposure as implied...

Estimates of the expected return on equities are of central importance for capital budgeting purposes, actuarial calculations (expected wealth) and, in countries with regulated utilities, for setting the allowed rate of return. The starting point for any of these purposes is the simple annual...

We demonstrate, using data for the period 1954-2003, that differences in exposure to consumption risk explains cross sectional differences in average excess returns (cost of equity capital) across the 25 benchmark equity portfolios constructed by Fama and French (1993). We use yearly returns on...

We explore a large sample of analysts' estimates of cost of equity capital (CoE) revealed in analysts' reports to evaluate their determinants and ability to capture expected stock returns. We first document that CoE estimates are more likely to be provided by less experienced and less busy...

We use satellite night lights data to estimate the extent of provincial-level gross domestic product (GDP) manipulation in China and show that firms located in provinces with greater GDP manipulation have higher cost of equity. This effect is significant for local state-owned enterprises (SOEs)...