Given that prior research into industry cost of equity indicates that CAPM-derived estimates are no worse than estimates from more complex models, we investigate the bias of the standard CAPM approach for each industry separately, and examine the effectiveness of alternative beta estimators. We...

Given that prior research into industry cost of equity indicates that CAPM-derived estimates are no worse than those from more complex models, we investigate the bias of the standard CAPM approach for each industry separately, and examine the effectiveness of alternative beta estimators. We find...