Alternative measures of the Federal Reserve Banks' cost of equity capital
Author
Abstract
(This abstract was borrowed from another version of this item.)
Suggested Citation
Download full text from publisher
As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.
Other versions of this item:
- Michelle L. Barnes & Jose A. Lopez, 2005. "Alternative measures of the Federal Reserve banks' cost of equity capital," Public Policy Discussion Paper 05-2, Federal Reserve Bank of Boston.
- Michelle L. Barnes & Jose A. Lopez, 2005. "Alternative measures of the Federal Reserve banks' cost of equity capital," Working Paper Series 2005-06, Federal Reserve Bank of San Francisco.
References listed on IDEAS
- J. David Cummins & Richard D. Phillips, 2005. "Estimating the Cost of Equity Capital for Property‐Liability Insurers," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 72(3), pages 441-478, September.
- Fama, Eugene F. & French, Kenneth R., 1997. "Industry costs of equity," Journal of Financial Economics, Elsevier, vol. 43(2), pages 153-193, February.
- Michael C. Ehrhardt & Yatin N. Bhagwat, 1991. "A Full-information Approach for Estimating Divisional Betas," Financial Management, Financial Management Association, vol. 20(2), Summer.
- Jose A. Lopez, 2001.
"Federal Reserve banks' imputed cost of equity capital,"
FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue aug10.
- Edward J. Green & Jose A. Lopez & Zhenyu Wang, 2001. "The Federal Reserve banks' imputed cost of equity capital," Working Paper Series 2001-01, Federal Reserve Bank of San Francisco.
- Gilbert, R. Alton & Wheelock, David C. & Wilson, Paul W., 2004.
"New evidence on the Fed's productivity in providing payments services,"
Journal of Banking & Finance, Elsevier, vol. 28(9), pages 2175-2190, September.
- R. Alton Gilbert & David C. Wheelock & Paul W. Wilson, 2002. "New evidence on the Fed's productivity in providing payments services," Working Papers 2002-020, Federal Reserve Bank of St. Louis.
- Graham, John R. & Harvey, Campbell R., 2001. "The theory and practice of corporate finance: evidence from the field," Journal of Financial Economics, Elsevier, vol. 60(2-3), pages 187-243, May.
- Hamada, Robert S, 1972. "The Effect of the Firm's Capital Structure on the Systematic Risk of Common Stocks," Journal of Finance, American Finance Association, vol. 27(2), pages 435-452, May.
- anonymous, 1990. "The Federal Reserve in the payments system," Federal Reserve Bulletin, Board of Governors of the Federal Reserve System (U.S.), issue May, pages 293-298.
- Tara N. Rice & Kristin D. Stanton, 2003. "Estimating the volume of payments-driven revenues," Emerging Issues, Federal Reserve Bank of Chicago.
- Edward J. Green & Jose A. Lopez & Zhenyu Wang, 2003. "Formulating the imputed cost of equity capital for priced services at Federal Reserve banks," Economic Policy Review, Federal Reserve Bank of New York, issue Sep, pages 55-81.
- Eugene F. Fama & Kenneth R. French, 2004. "The Capital Asset Pricing Model: Theory and Evidence," Journal of Economic Perspectives, American Economic Association, vol. 18(3), pages 25-46, Summer.
- James B. Thomson, 2001. "PSAF, economic capital, and the new Basel Accord," Working Papers (Old Series) 0111, Federal Reserve Bank of Cleveland.
- Paul D. Kaplan & James D. Peterson, 1998. "Full-Information Industry Betas," Financial Management, Financial Management Association, vol. 27(2), Summer.
- Bower, Dorothy H & Bower, Richard S & Logue, Dennis E, 1984. "Arbitrage Pricing Theory and Utility Stock Returns," Journal of Finance, American Finance Association, vol. 39(4), pages 1041-1054, September.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Urbański, Stanisław & Zarzecki, Dariusz, 2022. "The Fama-French model for estimating the cost of equity capital: The impact of real options of investment projects," Economic Systems, Elsevier, vol. 46(1).
- repec:zbw:bofrdp:2018_016 is not listed on IDEAS
- Pasaribu, Rowland Bismark Fernando, 2010. "Pemilihan Model Asset Pricing [Asset pricing model selection: Indonesian Stock Exchange]," MPRA Paper 36978, University Library of Munich, Germany.
- Tomas Adam & Sona Benecka & Ivo Jansky, 2012.
"Time-Varying Betas of Banking Sectors,"
Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 62(6), pages 485-504, December.
- Tomáš Adam & Sona Benecká & Ivo Jánský, 2012. "Time-varying Betas of the Banking Sector," Working Papers IES 2012/23, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jul 2012.
- Maryam Hasannasab & Dimitris Margaritis & Christos Staikouras, 2019. "The financial crisis and the shadow price of bank capital," Annals of Operations Research, Springer, vol. 282(1), pages 131-154, November.
- Gehrig, Thomas & Iannino, Maria Chiara, 2021.
"Did the Basel Process of capital regulation enhance the resiliency of European banks?,"
Journal of Financial Stability, Elsevier, vol. 55(C).
- Gehrig, Thomas Paul & Iannino, Maria Chiara, 2016. "Did the Basel Process of Capital Regulation Enhance the Resiliency of European Banks?," VfS Annual Conference 2016 (Augsburg): Demographic Change 145743, Verein für Socialpolitik / German Economic Association.
- Gehrig, Thomas & Iannino, Maria Chiara, 2018. "Did the Basel process of capital regulation enhance the resiliency of European Banks?," Bank of Finland Research Discussion Papers 16/2018, Bank of Finland.
- Gehrig, Thomas, 2017. "Did the Basel Process of Capital Regulation Enhance the Resiliency of European Banks?," CEPR Discussion Papers 11920, C.E.P.R. Discussion Papers.
- Colin T. Bowers & Chris Heaton, 2013. "What does high-dimensional factor analysis tell us about risk factors in the Australian stock market?," Applied Economics, Taylor & Francis Journals, vol. 45(11), pages 1395-1404, April.
- Mansour Ishrakieh, Layal & Dagher, Leila & El Hariri, Sadika, 2018. "The Institute of Financial Economics Financial Stress Index (IFEFSI) for Lebanon," MPRA Paper 116054, University Library of Munich, Germany.
- Gabriella Chiesa & José Manuel Mansilla-Fernández, 2021. "The dynamic effects of non-performing loans on banks’ cost of capital and lending supply in the Eurozone," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 48(2), pages 397-427, May.
- Layal MansourIshrakieh & Leila Dagher & Sadika El Hariri, 2020.
"A financial stress index for a highly dollarized developing country : The case of Lebanon,"
Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 20(2), pages 43-52.
- Mansour Ishrakieh, Layal & Dagher, Leila & El Hariri, Sadika, 2019. "A Financial Stress Index for a Highly Dollarized Developing Country: The Case of Lebanon," MPRA Paper 116083, University Library of Munich, Germany.
- Petr Pavlík, 2017. "Financial theory approach to the investigation of the impact of Basel III capital adequacy on commercial banks [Vědecké metody zkoumání dopadu kapitálové regulace obchodních bank]," Český finanční a účetní časopis, Prague University of Economics and Business, vol. 2017(4), pages 41-56.
- Grandes, Martin & Panigo, Demian T. & Pasquini, Ricardo A., 2010. "On the estimation of the cost of equity in Latin America," Emerging Markets Review, Elsevier, vol. 11(4), pages 373-389, December.
- Chaibi Hasna & Ben Naceur Sami, 2010. "The Best Asset Pricing Model for Estimating Industry Costs of Equity in Tunisia," Review of Middle East Economics and Finance, De Gruyter, vol. 5(3), pages 63-90, February.
- Thierno Barry & Laetitia Lepetit & Frank Strobel & Thu Tran, 2018. "Better than independent: the role of minority directors on bank boards," Working Papers hal-01937927, HAL.
- Marques Benton & Krista Blair & Marianne Crowe & Scott Schuh, 2007. "The Boston Fed study of consumer behavior and payment choice: a survey of Federal Reserve System employees," Public Policy Discussion Paper 07-1, Federal Reserve Bank of Boston.
- Urbański Stanisław, 2021. "The Cost of Capital for Investment in the Warsaw Stock Exchange Indexes – Versus Djia," Folia Oeconomica Stetinensia, Sciendo, vol. 21(1), pages 122-143, June.
- Gehrig, Thomas & Iannino, Maria Chiara, 2021.
"Did the Basel Process of capital regulation enhance the resiliency of European banks?,"
Journal of Financial Stability, Elsevier, vol. 55(C).
- Gehrig, Thomas Paul & Iannino, Maria Chiara, 2016. "Did the Basel Process of Capital Regulation Enhance the Resiliency of European Banks?," VfS Annual Conference 2016 (Augsburg): Demographic Change 145743, Verein für Socialpolitik / German Economic Association.
- Gehrig, Thomas & Iannino, Maria Chiara, 2018. "Did the Basel process of capital regulation enhance the resiliency of European Banks?," Research Discussion Papers 16/2018, Bank of Finland.
- Gehrig, Thomas & Iannino, Maria Chiara, 2018. "Did the Basel process of capital regulation enhance the resiliency of European Banks?," Bank of Finland Research Discussion Papers 16/2018, Bank of Finland.
- Gehrig, Thomas & Iannino, Maria Chiara, 2017. "Did the Basel Process of Capital Regulation Enhance the Resiliency of European Banks?," CEPR Discussion Papers 11920, C.E.P.R. Discussion Papers.
- Han, Yufeng, 2012. "State uncertainty in stock markets: How big is the impact on the cost of equity?," Journal of Banking & Finance, Elsevier, vol. 36(9), pages 2575-2592.
- Michael R King, 2009. "The cost of equity for global banks: a CAPM perspective from 1990 to 2009," BIS Quarterly Review, Bank for International Settlements, September.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Babak Jafarizadeh & Reidar B. Bratvold, 2019. "Exploration economics: taking opportunities and the risk of double-counting risk," Mineral Economics, Springer;Raw Materials Group (RMG);Luleå University of Technology, vol. 32(3), pages 323-335, November.
- Fred Lazar & Eliezer Z. Prisman, 2015. "Regulator's Determination of Return on Equity in the Absence of Public Firms: The Case of Automobile Insurance in Ontario," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 18(2), pages 199-216, September.
- Jose A. Lopez, 2001.
"Federal Reserve banks' imputed cost of equity capital,"
FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue aug10.
- Edward J. Green & Jose A. Lopez & Zhenyu Wang, 2001. "The Federal Reserve banks' imputed cost of equity capital," Working Paper Series 2001-01, Federal Reserve Bank of San Francisco.
- Edward J. Green & Jose A. Lopez & Zhenyu Wang, 2003. "Formulating the imputed cost of equity capital for priced services at Federal Reserve banks," Economic Policy Review, Federal Reserve Bank of New York, issue Sep, pages 55-81.
- Jorge Armando Bedoya-Cadavid & Ángela María Lanzas-Duque & Harold Salazar, 2023. "WACC for Electric Power Transmission System Operators: The Case of Colombia," Energies, MDPI, vol. 16(2), pages 1-13, January.
- Simon Krotter & Andreas Schüler, 2013. "Empirische Ermittlung von Eigen-, Fremd- und Gesamtkapitalkosten: eine Untersuchung deutscher börsennotierter Aktiengesellschaften," Schmalenbach Journal of Business Research, Springer, vol. 65(5), pages 390-433, September.
- Giaccotto, Carmelo & Lin, Xiao & Zhao, Yanhui, 2020. "Term structure of discount rates for firms in the insurance industry," Insurance: Mathematics and Economics, Elsevier, vol. 95(C), pages 147-158.
- David J. Moore & David McMillan, 2016. "A look at the actual cost of capital of US firms," Cogent Economics & Finance, Taylor & Francis Journals, vol. 4(1), pages 1233628-123, December.
- Ulrike Malmendier & Vincenzo Pezone & Hui Zheng, 2023. "Managerial Duties and Managerial Biases," Management Science, INFORMS, vol. 69(6), pages 3174-3201, June.
- Surenderrao Komera & P. J. Jijo Lukose, 2016. "Heterogeneity and Asymmetry in Speed of Leverage Adjustment: The Indian Experience," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 19(03), pages 1-26, September.
- Philipp Krüger & Augustin Landier & David Thesmar, 2015.
"The WACC Fallacy: The Real Effects of Using a Unique Discount Rate,"
Journal of Finance,
American Finance Association, vol. 70(3), pages 1253-1285, 06.
- David Thesmar & P. Kruger & Augustin Landier, 2011. "The WACC Fallacy: The Real Effects of Using a Unique Discount Rate," Post-Print hal-00578326, HAL.
- Krüger, Philipp & Landier, Augustin & Thesmar, David, 2011. "The WACC Fallacy: The Real Effects of Using a Unique Discount Rate," IDEI Working Papers 629, Institut d'Économie Industrielle (IDEI), Toulouse.
- Krüger, Philipp & Landier, Augustin & Thesmar, David, 2011. "The WACC Fallacy: The Real Effects of Using a Unique Discount Rate," TSE Working Papers 11-222, Toulouse School of Economics (TSE).
- Groh, Alexander P. & Gottschalg, Oliver, 2009. "The opportunity cost of capital of US buyouts," IESE Research Papers D/780, IESE Business School.
- Iftekhar Hasan & Heiko Schmiedel & Liang Song, 2012. "Returns to Retail Banking and Payments," Journal of Financial Services Research, Springer;Western Finance Association, vol. 41(3), pages 163-195, June.
- Hasan, Iftekhar & Schmiedel, Heiko & Song, Liang, 2009. "Return to retail banking and payments," Working Paper Series 1135, European Central Bank.
- Alexander, Cindy R. & Bauguess, Scott W. & Bernile, Gennaro & Lee, Yoon-Ho Alex & Marietta-Westberg, Jennifer, 2013. "Economic effects of SOX Section 404 compliance: A corporate insider perspective," Journal of Accounting and Economics, Elsevier, vol. 56(2), pages 267-290.
- Hsieh, Su-Jane & Liu, Shuming, 2021. "The cost-of-equity implications of off-balance sheet pension liabilities," Journal of Contemporary Accounting and Economics, Elsevier, vol. 17(1).
- Paul Handro & Bogdan Dima, 2024. "Analyzing Financial Markets Efficiency: Insights from a Bibliometric and Content Review," Journal of Financial Studies, Institute of Financial Studies, vol. 16(9), pages 119-175, May.
- Harford, Jarrad & Klasa, Sandy & Walcott, Nathan, 2009. "Do firms have leverage targets? Evidence from acquisitions," Journal of Financial Economics, Elsevier, vol. 93(1), pages 1-14, July.
- Gérard Charreaux, 2000. "L'approche économico-financière de l'investissement: une vision critique," Working Papers CREGO 1000501, Université de Bourgogne - CREGO EA7317 Centre de recherches en gestion des organisations.
- Shahzad, Syed Jawad Hussain & Zakaria, Muhammad & Raza, Naveed, 2014. "Sensitivity Analysis of CAPM Estimates: Data Frequency and Time Frame," MPRA Paper 60110, University Library of Munich, Germany.
- Jan A. Kempkes & Francesco Suprano & Andreas Wömpener, 2023. "An empirical evaluation of dynamic approaches for estimating firms’ expected cost of equity capital," The Financial Review, Eastern Finance Association, vol. 58(4), pages 859-886, November.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jbfina:v:30:y:2006:i:6:p:1687-1711. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/jbf .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.