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Consumption Risk and the Cost of Equity Capital
Jagannathan, Ravi - 2005
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...
Persistent link: https://www.econbiz.de/10012467661
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Cross-Border Valuation : The International Cost of Equity Capital
Bodnar, Gordon M. - 2003
How does a firm in one country evaluate an investment in a firm in another country, or how does it evaluate a foreign project that the firm itself is undertaking? The firm must estimate future free cash flows just as in a domestic project, but choosing an appropriate discount rate is a...
Persistent link: https://www.econbiz.de/10012468579
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Costs of Equity Capital and Model Mispricing
Pastor, Lubos - 1998
Costs of equity for individual firms are estimated in a Bayesian framework using several factor-based pricing models. Substantial prior uncertainty about mispricing often produces an estimated cost of equity close to that obtained with mispricing precluded, even for a stock whose average return...
Persistent link: https://www.econbiz.de/10012472312
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Equity is Cheap for Large Financial Institutions : The International Evidence
Gandhi, Priyank - 2016
In most countries, equity is a cheap source of funding for a country's largest financial institutions. On average, the stocks of the top 10% financial companies in a country account for over a quarter of total market capitalization, but these stocks earn returns that are significantly lower than...
Persistent link: https://www.econbiz.de/10012456321
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External Equity Financing Shocks, Financial Flows, and Asset Prices
Belo, Frederico - 2014
The ability of corporations to raise external equity finance varies with macroeconomic conditions, suggesting that the cost of equity issuance is time-varying. Using cross sectional data on U.S. publicly traded firms, we construct an empirical proxy of an aggregate shock to the cost of equity...
Persistent link: https://www.econbiz.de/10012458455
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Does Financial Constraint Affect Shareholder Taxes and the Cost of Equity Capital?
Chen, Chongyang - 2011
We show that firms with the least elastic demand for equity capital should benefit the most from reductions in shareholder taxes. Consistent with this prediction, we find that, following 1997 and 2003 cuts in U.S. individual shareholder taxes, financially constrained firms, and particularly...
Persistent link: https://www.econbiz.de/10012461488
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Inflation Expectations and Firm Decisions : New Causal Evidence
Coibion, Olivier - 2018
credit, and reduce their employment and capital. However, when policy rates are constrained by the effective lower bound …
Persistent link: https://www.econbiz.de/10012481059
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Intermediary Asset Pricing
He, Zhiguo - 2008
We present a model to study the dynamics of risk premia during crises in asset markets where the marginal investor is a financial intermediary. Intermediaries face a constraint on raising equity capital. When the constraint binds, so that intermediaries' equity capital is scarce, risk premia...
Persistent link: https://www.econbiz.de/10012464130
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Banks as Secret Keepers
Dang, Tri Vi - 2014
Banks are optimally opaque institutions. They produce debt for use as a transaction medium (bank money), which requires that information about the backing assets - loans - not be revealed, so that bank money does not fluctuate in value, reducing the efficiency of trade. This need for opacity...
Persistent link: https://www.econbiz.de/10012458411
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Does Macro-Pru Leak? Evidence from a UK Policy Experiment
Aiyar, Shekhar - 2012
The regulation of bank capital as a means of smoothing the credit cycle is a central element of forthcoming macro …-prudential regimes internationally. For such regulation to be effective in controlling the aggregate supply of credit it must be the case … credit are unable to offset changes in credit supply by affected banks. This paper examines micro evidence--lacking to date …
Persistent link: https://www.econbiz.de/10012460836