Equity costs of capital for individual firms are estimated using several models that relate expected returns to betas on one or more pervasive factors. A Bayesian approach incorporates prior uncertainty about an asset's mispricing as well as uncertainty about betas and factor means. Substantial...

Evidence of structural breaks in the historical return distribution raises concerns about averaging a long series to estimate the current equity premium. Data before a break are relevant if one believes that large shifts in the premium are unlikely or that the premium is associated, to some...

Costs of equity for individual firms are estimated in a Bayesian analysis 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 whoses...

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