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Estimating the Cost of Capital Through Time: An Analysis of the Sources of Error

Citations

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Cited by:

  1. 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).
  2. Martínez-Sánchez, José Francisco & Pérez-Lechuga, Gilberto & Venegas-Martínez, Francisco (ed.), 2014. "Modelos para la toma de decisiones en la Ingeniería Económica y Financiera: Un enfoque estocástico Vol. 2," Sección de Estudios de Posgrado e Investigación de la Escuela Superios de Economía del Instituto Politécnico Nacional, Escuela Superior de Economía, Instituto Politécnico Nacional, edition 1, volume 2, number 012, December.
  3. repec:ers:journl:v:xxiv:y:2021:i:4:p:370-395 is not listed on IDEAS
  4. Urbański Stanisław & Leśkow Jacek, 2020. "Using the ICAPM to estimate the cost of capital of stock portfolios: empirical evidence on the Warsaw Stock Exchange," Statistics in Transition New Series, Statistics Poland, vol. 21(1), pages 73-94, March.
  5. Da, Zhi & Guo, Re-Jin & Jagannathan, Ravi, 2012. "CAPM for estimating the cost of equity capital: Interpreting the empirical evidence," Journal of Financial Economics, Elsevier, vol. 103(1), pages 204-220.
  6. Fletcher, Jonathan & Hillier, Joe, 2002. "On the usefulness of linear factor models in predicting expected returns in mean-variance analysis," International Review of Financial Analysis, Elsevier, vol. 11(4), pages 449-466.
  7. Urbański Stanisław, 2019. "The Cost of Equity Capital in Stock Portfolios Listed on the Warsaw Stock Exchange Using the Classic CAPM," Financial Internet Quarterly (formerly e-Finanse), Sciendo, vol. 15(2), pages 48-62, June.
  8. Simin, Timothy, 2008. "The Poor Predictive Performance of Asset Pricing Models," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 43(2), pages 355-380, June.
  9. Božović, Miloš, 2023. "Can a dynamic correlation factor improve the pricing of industry portfolios?," Finance Research Letters, Elsevier, vol. 53(C).
  10. David Souder & Greg Reilly & Philip Bromiley & Scott Mitchell, 2016. "A Behavioral Understanding of Investment Horizon and Firm Performance," Organization Science, INFORMS, vol. 27(5), pages 1202-1218, October.
  11. Fuenzalida, Darcy & Mongrut, Samuel, 2010. "Estimation Of Discount Rates In Latin America: Empirical Evidence And Challenges," Journal of Economics, Finance and Administrative Science, Universidad ESAN, vol. 15(28), pages 7-43.
  12. Kolari, James W. & Huang, Jianhua Z. & Butt, Hilal Anwar & Liao, Huiling, 2022. "International tests of the ZCAPM asset pricing model," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
  13. Magdalena Mikolajek-Gocejna, 2022. "Systematic Risk of ESG Companies Listed on the Polish Capital Market in 2019-2022," European Research Studies Journal, European Research Studies Journal, vol. 0(2), pages 597-615.
  14. Magdalena Mikolajek-Gocejna, 2021. "Estimation, Instability, and Non-Stationarity of Beta Coefficients for Twenty-four Emerging Markets in 2005-2021," European Research Studies Journal, European Research Studies Journal, vol. 0(4 - Part ), pages 370-395.
  15. Mario Situm, 2021. "Determination of expected cost of equity with the CAPM: Theoretical extension using the law of error propagation," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 42(1), pages 77-84, January.
  16. Avraham Kamara & Lance Young, 2018. "Yes, the Composition of the Market Portfolio Matters: The Estimated Cost of Equity," Financial Management, Financial Management Association International, vol. 47(4), pages 911-929, December.
  17. He, Zhongzhi & Kryzanowski, Lawrence, 2007. "Cost of equity for Canadian and U.S. sectors," The North American Journal of Economics and Finance, Elsevier, vol. 18(2), pages 215-229, August.
  18. Koedijk, C.G. & van Dijk, M.A., 2002. "Do Global Risk Factors Matter for International Cost of Capital Computations?," ERIM Report Series Research in Management ERS-2002-100-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  19. Ramazan Gencay & Nikola Gradojevic, 2009. "Errors-in-Variables Estimation with No Instruments," Working Paper series 30_09, Rimini Centre for Economic Analysis.
  20. Max Schreder & Pawel Bilinski, 2022. "Information Quality and the Expected Rate of Return: A Structural Equation Modelling Approach," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 29(2), pages 139-170, June.
  21. 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.
  22. 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.
  23. Francois-Éric Racicot & Raymond Théoret & Alain Coen, 2006. "Towards New Empirical Versions of Financial and Accounting Models Corrected for Measurement Errors," RePAd Working Paper Series UQO-DSA-wp132006, Département des sciences administratives, UQO.
  24. Stanisław Urbański & Jacek Leśkow, 2020. "Using the ICAPM to estimate the cost of capital of stock portfolios: empirical evidence on the Warsaw Stock Exchange," Statistics in Transition New Series, Polish Statistical Association, vol. 21(1), pages 73-94, March.
  25. James W. Kolari & Jianhua Z. Huang & Wei Liu & Huiling Liao, 2022. "Further Tests of the ZCAPM Asset Pricing Model," JRFM, MDPI, vol. 15(3), pages 1-23, March.
  26. Fletcher, Jonathan & Hillier, Joe, 2005. "An examination of linear factor models in country equity asset allocation strategies," The Quarterly Review of Economics and Finance, Elsevier, vol. 45(4-5), pages 808-823, September.
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