We estimate ex ante expected returns for a sample of S&P 500 firms over the period 1983- 1998. The ex ante estimates show a better overall fit with the domestic version of the singlefactor CAPM than with the global version, but the difference is small. This finding has no trend in time and is...

Using expectational data from financial analysts, we estimate a market risk premium for US stocks. Using the Samp;P 500 as a proxy for the market portfolio, the average market risk premium is found to be 7.14% above yields on long-term US government bonds over the period 1982-1998. This risk...

We use expectational date from financial analysts to estimate a market risk premium for U.S. stocks. Using the SP500 as a proxy for the market portfolio, we find an average market risk premium of 7.14% above yields on long-term U.S. government bonds over the period of 1982-1998. We also find...

This paper presents estimates of shareholder required rates of return and risk premia which are derived using forward-looking analysts' growth forecasts. We update through 1991 earlier work which, due to data availability, was restricted to the period 1982-1984. Using stronger tests, we also...

We examine the empirical relationship between estimates of ex ante cost of equity and risk for a sample of individual emerging market equities for the period 1990-2000. The ex ante cost of equity estimates are obtained using the residual income valuation model. As in studies that use mean...

Cost of equity estimates are compared for three pricing models: the traditional local CAPM, the single (market) factor global CAPM, and the two-factor global CAPM, with both market and currency index factors. For 2989 US stocks, the average difference in the cost of equity estimates is about 48...