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Analysts’ Estimates of the Cost of Equity Capital

Balakrishnan, Karthik; Shivakumar, Lakshmanan; Taori, … - 2021

We explore a large sample of analysts’ estimates of the cost of equity capital (CoE) to evaluate their usefulness as expected return proxies (ERP). We find that the CoE estimates are significantly related to a firm’s beta, size, book-to-market ratio, leverage, and idiosyncratic volatility...

Persistent link: https://www.econbiz.de/10013251597

Industry Cost of Equity : A New Approach

Gharaibeh, Omar; Bornholt, Graham N.; Dempsey, Michael J. - 2021

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 … meaningful assessment of the empirical reality of the CAPM, as well as offering guidance concerning the appropriate practical …

Persistent link: https://www.econbiz.de/10013252208

Hedging incentives for financial institutions

Weert, Frans J. de - In: Journal of risk 22 (2019/2020) 3, pp. 1-20

Persistent link: https://www.econbiz.de/10013177132

Effect of Impairment-Testing Disclosures on the Cost of Equity Capital

Paugam, Luc - 2015

Information risk – the uncertainty regarding the parameters of the distribution of firms' future cash flows – generates valuation errors and is costly to investors who require a higher return to compensate for greater information risk. We argue that, on average, through their...

Persistent link: https://www.econbiz.de/10013032012

Asymmetric Effects of Informed Trading on the Cost of Equity Capital

Brennan, Michael J. - 2015

We decompose the structural estimate of the probability of informed trading, PIN, into components that capture informed trading on good and on bad news. We estimate these two components at quarterly intervals, and provide new evidence that they capture informed trading around earnings...

Persistent link: https://www.econbiz.de/10013036090

SEO Timing, the Cost of Equity Capital, and Liquidity Risk

Lin, Ji-Chai - 2010

This paper uses a simple approach to capture time-varying risks surrounding seasoned equity offerings to shed further light on SEO timing and post-issue underperformance. We find that a steady decline in issuing firms' cost of equity capital to its lowest point prompts them to file SEOs. The...

Persistent link: https://www.econbiz.de/10013148741