Despite their popularity as proxies of expected returns, the implied cost of capital's (ICC) measurement error … Swaminathan (2001) (GLS), I show that ICC measurement errors can be not only nonrandom and persistent, but can also be associated …. Moreover, I document that biases in GLS' measurement errors are driven not only by analysts' systematic forecast errors but …

KLIC measures not only model specification error but also parameter estimation error, and thus we treat both types of …