This paper proposes a robust one-pass estimator that is easy to code: Justified by the market-model itself and using a prior that market-betas should not be less than -2 and more than +4, the market-model is run on daily stock rates of return that have first been winsorized at -2 and +4 times...

As to the equity premium, the 2008 decline in the stock market has made economists mildly more bullish about future stock market rates of return. Typical expected equity premia are between 5% and 6% per year.As to policy, the recommended fiscal stimulus is around $700 billion. A large majority...

This paper proposes a robust one-pass estimator that is easy to code: Justified by the market-model itself and using a prior that market-betas should not be less than –2 and more than +4, the market-model is run on daily stock rates of return that have first been winsorized at –2 and +4...

Cost-of-capital assessments with factor models require quantitative forward- looking estimates. We recommend estimating Vasicek-shrunk betas with one to four years of daily stock returns, and then — because the underlying betas are themselves time-varying — shrinking betas a second time (and...

Twenty years ago, it would have been considered heresy to doubt the usefulness of the capital asset pricing model (CAPM) in assessing the cost of capital. The author argues that today, the CAPM should not just be doubted—it should be discarded

My paper proposes a robust and easy-to-implement one-pass beta estimator: Justified by the market-model itself, daily stock returns are first winsorized at –2 and +4 times the contemporaneous market return. The resulting “slope- winsorized” betas outpredict all other prominent estimators,...