The implied cost of capital: A new approach

被引：287

作者：

Hou, Kewei ^{[1
]}

van Dijk, Mathijs A. ^{[2
]}

Zhang, Yinglei ^{[3
]}

机构：

[1] Ohio State Univ, Fisher Coll Business, Columbus, OH 43210 USA

[2] Erasmus Univ, Rotterdam Sch Management, NL-3000 DR Rotterdam, Netherlands

[3] Chinese Univ Hong Kong, Sch Accountancy, Shatin, Hong Kong, Peoples R China

来源：

JOURNAL OF ACCOUNTING & ECONOMICS | 2012年 / 53卷 / 03期

关键词：

Cross-sectional earnings model; Earnings forecasts; Expected returns; Implied cost of capital; Asset pricing tests; ANALYSTS EARNINGS FORECASTS; CROSS-SECTION; FUNDAMENTAL ANALYSIS; ALTERNATIVE PROXIES; DISCLOSURE LEVEL; EXPECTED RATE; FIRM RISK; CASH FLOW; EQUITY; RETURN;

D O I：

10.1016/j.jacceco.2011.12.001

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We use earnings forecasts from a cross-sectional model to proxy for cash flow expectations and estimate the implied cost of capital (ICC) for a large sample of firms over 1968-2008. The earnings forecasts generated by the cross-sectional model are superior to analysts' forecasts in terms of coverage, forecast bias, and earnings response coefficient. Moreover, the model-based ICC is a more reliable proxy for expected returns than the ICC based on analysts' forecasts. We present evidence on the cross-sectional relation between firm-level characteristics and ex ante expected returns using the model-based ICC. (c) 2011 Elsevier B.V. All rights reserved.

引用

页码：504 / 526

页数：23

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