Industry costs of equity

• 成果类型: Article
• 署名作者: Fama, EF; French, KR
• 署名单位: Yale University; University of Chicago
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(96)00896-3
• 发表日期: 1997
• 页码: 153-193
• 关键词: cost of equity; Asset pricing models; risk loadings

摘要

Estimates of the cost of equity for industries are imprecise. Standard errors of more than 3.0% per year are typical for both the CAPM and the three-factor model of Fama and French (1993). These large standard errors are the result of(i) uncertainty about true factor risk premiums and (ii) imprecise estimates of the loadings of industries on the risk factors. Estimates of the cost of equity for firms and projects are surely even less precise.