Bianconi, Marcelo; Yoshino, Joe Akira - In: Review of Economics & Finance 5 (2015) February, pp. 1-21
We provide an extensive set of alternative models for the estimation of the real cost of equity in a sample of utilities firms in Brazil with monthly data from March 2006 to June 2011. The traditional CAPM is rejected, together with the Fama-French factors, due to a poor fit. Additional factors...