Illiquidity measures appear to be related to monthly realized returns but do they impact long-run costs of capital (CoC) for firms? Using U.S. data, we find cross-sectional evidence that, controlling for market capitalization, the Amihud (2002) measure of illiquidity is negatively related to CoC...

We find that listed parents' carve-outs have investment-cash flow sensitivities 80% lower than unlisted parents' carve-outs, on average. Such a finding is stronger when we consider only equity carve-outs in technological industries. The finding suggests that listed parents are more capable of...

This paper uses analysts' forecasts to estimate a share's equity duration, a measure of a company's average cash-flow maturity. We find that short duration equity is associated with high expected and realized returns, which cannot be attributed to the shares' systematic risk exposure as implied...

We explore a large sample of analysts' estimates of cost of equity capital (CoE) revealed in analysts' reports to evaluate their determinants and ability to capture expected stock returns. We first document that CoE estimates are more likely to be provided by less experienced and less busy...

We use satellite night lights data to estimate the extent of provincial-level gross domestic product (GDP) manipulation in China and show that firms located in provinces with greater GDP manipulation have higher cost of equity. This effect is significant for local state-owned enterprises (SOEs)...

This work is an attempt to estimate the cost of equity capital characteristic among portfolios of companies listed on the Warsaw Stock Exchange in the years 1995-2017. To this end, the classic CAPM is used to estimate the cost of risk. Model tests are based on 252 monthly returns. In order to...

Estimates of the expected return on equities are of central importance for capital budgeting purposes, actuarial calculations (expected wealth) and, in countries with regulated utilities, for setting the allowed rate of return. The starting point for any of these purposes is the simple annual...

The present paper calculates systematic risk within the context of the Capital Asset Pricing Model in order to investigate the significance of financial leverage. It develops a multinomial model with two theoretically predicted targets in the unleveraged/leveraged process, namely the proxy...