Toward an implied cost of capital

• 成果类型: Article
• 署名作者: Gebhardt, WR; Lee, CMC; Swaminathan, B
• 署名单位: Cornell University
• 刊物名称: JOURNAL OF ACCOUNTING RESEARCH
• ISSN/ISSBN: 0021-8456
• DOI: 10.1111/1475-679X.00007
• 发表日期: 2001
• 页码: 135-176
• 关键词: cross-section; MARKET; RISK; return; INVESTMENT; covariance; disclosure; valuation; prices

摘要

In this study, we propose an alternative technique for estimating the cost of equity capital. Specifically, we use a discounted residual income model to generate a market implied cost-of-capital. We then examine firm characteristics that are systematically related to this estimate of cost-of-capital. Ve show that a firm's implied cost-of-capital is a function of its industry membership, B/M ratio, forecasted long-term growth rate, and the dispersion in analyst earnings forecasts. Together, these variables explain around 60% of the cross-sectional variation in future (two-year-ahead) implied costs-of-capital. The stability of these long-term relations suggests they can be exploited to estimate future costs-of-capital. We discuss the implications of these findings for capital budgeting, investment decisions, and valuation research.