Narrow search
Showing 1 - 10 of 844
Cover Image
CAPM for Estimating the Cost of Equity Capital : Interpreting the Empirical Evidence
Da, Zhi - 2010
We argue that the empirical evidence against the Capital Asset Pricing Model (CAPM) based on stock returns does not … returns on stocks need not satisfy the CAPM even when expected returns of projects do. We provide empirical support for our … arguments by developing a method for estimating firms' project CAPM-betas and project returns. Our findings justify the …
Persistent link: https://www.econbiz.de/10012757537
Cover Image
Costs of Equity Capital and Model Mispricing
Pastor, Lubos - 2010
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/10012763608
Cover Image
Stock Market Returns and Consumption
Di Maggio, Marco; Kermani, Amir; Majlesi, Kaveh - 2021
This paper employs Swedish data on households' stock holdings to investigate how consumption responds to changes in stock market returns. We instrument the actual capital gains and dividend payments with past portfolio weights. Unrealized capital gains lead to a marginal propensity to consume...
Persistent link: https://www.econbiz.de/10013232918
Cover Image
Globalization of Equity Markets and the Cost of Capital
Stulz, René M. - 2014
This paper examines the impact of globalization on the cost of equity capital. We argue that the cost of equity capital decreases because of globalization for two important reasons. First, the expected return that investors require to invest in equity to compensate them for the risk they bear...
Persistent link: https://www.econbiz.de/10013069163
Cover Image
Do We Need CAPM for Capital Budgeting?
Meier, Iwan - 2003
A key input to the capital budgeting process is the cost of capital. Financial managers most often use the CAPM for … for the U.S. equity premium as the market risk premium. The CAPM as a model has been seriously challenged in the academic …
Persistent link: https://www.econbiz.de/10012786910
Cover Image
Consumption Risk and the Cost of Equity Capital
Wang, Yong - 2010
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/10012762530
Cover Image
Cross-Border Valuation : The International Cost of Equity Capital
Bodnar, Gordon M. - 2010
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/10012762708
Cover Image
Foreign Speculators and Emerging Equity Markets
Bekaert, Geert - 2008
A number of countries have delayed the opening of their capital markets to internationalquot; investment because of reservations about the impact of foreign speculators on both expectedquot; returns and market volatility. We propose a cross-sectional time-series model that attempts toquot;...
Persistent link: https://www.econbiz.de/10012774923
Cover Image
Estimating the Intertemporal Risk-Return Tradeoff Using the Implied Cost of Capital
Pastor, Lubos - 2010
We reexamine the time-series relation between the conditional mean and variance of stock market returns. To proxy for the conditional mean return, we use the implied cost of capital, computed using analyst forecasts. The usefulness of this proxy is shown in simulations. In empirical analysis, we...
Persistent link: https://www.econbiz.de/10012761775
Cover Image
Internal Versus External Capital Markets
Gertner, Robert H. - 2010
This paper presents a framework for analyzing the costs and benefits of internal vs. external capital allocation. We focus primarily on comparing an internal capital market to bank lending. While both represent centralized forms of financing, in the former case the financing is owner-provided,...
Persistent link: https://www.econbiz.de/10013139878