Corporate Discount Rates

• 成果类型: Article
• 署名作者: Gormsen, Niels Joachim; Huber, Kilian
• 署名单位: University of Chicago
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.20231246
• 发表日期: 2025
• 页码: 2001-2049
• 关键词: stock-market; cross-section; IMPLIED COST; INVESTMENT; expectations; POWER; returns; finance; PRODUCTIVITY; prices

摘要

We construct a dataset of firms' discount rates (i.e., required returns to capital) and perceived cost of capital using corporate conference calls. The relation between discount rates and the cost of capital is far below the one-to-one mapping assumed in standard theory, as it takes many years for changes in the cost of capital to be incorporated into discount rates. This pattern leads to large and time-varying discount rate wedges that affect firm investment. Moreover, increasing discount rate wedges can account for the recent puzzle of missing investment. Cross-firm variation in market power and riskiness explains the evolution of wedges.