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Implied Cost of Capital and Mutual Fund Performance

Hendriock, Mario - 2020

Which trading strategies differentiate skilled mutual fund managers from their unsuccessful peers? This study provides evidence for a positive association between holdings' implied cost of capital (ICC) and future fund performance. Consistent with large transaction costs of ICC-based investments...

Persistent link: https://www.econbiz.de/10012840019

Market-Wide Cost of Capital Impacts on the Aggregate Earnings-Returns Relation : Evidence from Japan

Yoshinaga, Yuto - 2017

This study aims to clarify the mechanism of the surprising earnings-returns relation observed at the aggregate level by offering evidence from Japan. Unlike firm-level evidence, recent Macro-Accounting research reports that when earnings changes and stock returns of individual firms are...

Persistent link: https://www.econbiz.de/10012971337

The role of market efficiency on implied cost of capital estimates : an international perspective

Schröder, David - 2020

This study examines the role of market efficiency on international differences in the usefulness of the implied cost of capital (ICC) to measure expected stock returns. The analysis exploits cross-country differences in market efficiency around the world using a variety of empirical measures of...

Persistent link: https://www.econbiz.de/10012852872

Illiquidity and the cost of equity capital : evidence from actual estimates of capital cost for U.S. data

Goyal, Amit; Subrahmanyam, Avanidhar; Swaminathan, Bhaskaran - 2021

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...

Persistent link: https://www.econbiz.de/10012800436

A look at the actual cost of capital of US firms

Moore, David J. - In: Cogent economics & finance 4 (2016) 1, pp. 1-15

The capital asset pricing model (CAPM) receives both criticism and widespread adoption by practitioners and academics … to address CAPM criticisms and provide new perspective on WACC estimates. The firm-based measure focuses on firm …-based WACC measures, along with the traditional CAPM-based WACC measure, to a broad sector-based cross section from 1972 to 2015 …

Persistent link: https://www.econbiz.de/10011597398

Regulatory changes and the cost of capital for banks

Kovner, Anna; Van Tassel, Peter - 2018

We estimate the cost of capital for the banking industry and find that while the cost of capital soared for banks in the financial crisis, after the passage of the Dodd-Frank Act, the value-weighted cost of capital for banks fell differentially more than did the cost of capital for nonbanks. The...

Persistent link: https://www.econbiz.de/10011868475

Using the ICAPM to estimate the cost of capital of stock portfolios: empirical evidence on the Warsaw Stock Exchange

Urba´nski, Stanislaw; Leśkow, Jacek - In: Statistics in transition : an international journal of … 21 (2020) 1, pp. 73-94

apply the bootstrap method to evaluate the variability of their estimation method. The cost of capital they refer to is …

Persistent link: https://www.econbiz.de/10012183556

Cost of capital dynamics implied by firm fundamentals

Lyle, Matthew; Wang, Charles C. Y. - 2012

We provide a tractable model of firm-level expected holding period returns using two firm fundamentals ― book-to-market ratio and ROE ― and study the cross-sectional properties of the model-implied expected returns. We find that: 1) firm level expected returns and expected profitability are...

Persistent link: https://www.econbiz.de/10009678192

Company cost of capital and leverage : a simplified textbook relationship revisited

Haag, Valentin Georg; Koziol, Christian - In: Schmalenbach journal of business research : SBUR 75 (2023) 1, pp. 37-69

In this paper, we revisit a frequently employed simplification within the WACC approach that company cost of capital kV is supposed to be invariant to the debt ratio and therefore equal to the unlevered cost kU . Even though we know from Miles and Ezzell (1980) that kV formally differs from kU ,...

Persistent link: https://www.econbiz.de/10014325747

Stock Extreme Illiquidity and the Cost of Capital

Belkhir, Mohamed - 2018

We examine the relationship between stock extreme illiquidity and the implied cost of capital for firms from 45 countries. We document robust evidence that firms whose stocks have a greater potential for extreme illiquidity realizations suffer from higher cost of capital. A one standard...

Persistent link: https://www.econbiz.de/10012922232