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 …

Costs of equity for individual firms are estimated in a Bayesian framework using several factor-based pricing models …

book-to-market, investment, and size portfolios. We propose a dynamic investment-based model with stochastic equity … issuance costs and a collateral constraint to interpret the empirical findings. Our central finding is that time variation in … external equity financing costs is important for the model to quantitatively capture the joint dynamics of firms' asset prices …

We provide a model for why high beta assets are more prone to speculative overpricing than low beta ones. When … investors disagree about the common factor of cash-flows, high beta assets are more sensitive to this macro-disagreement and … funds result in high beta assets being over-priced. When aggregate disagreement is low, expected return increases with beta …

How does a firm in one country evaluate an investment in a firm in another country, or how does it evaluate a foreign …

In the presence of asymmetric information, the stage at which financing decisions are made about investment projects in … channeling savings into investment. This paper compares the implications of two extreme cases regarding the information possessed …

this paper, we compare two formulations of the Capital Asset Pricing Model. The traditional CAPM suggests that the … appropriate measure of an asset's risk is the covariance of the asset's return with the market return. The consumption CAPM, on … cross section of 464 stocks and find that the beta measured with respect to a stock market index outperforms the beta …

outperformance comes from factor exposures ("smart beta"). If institutions had instead implemented mean-variance portfolios of …