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Estimating the Cost of Capital Through Time: An Analysis of the Sources of Error
16 references·7 citing·29 second hop
Estimating the Cost of Capital Through Time: An Analysis of the Sources of Error (1998)Estimating the Cost of Capital Through Ti…Best Practices in Estimating the Cost of Capital: Survey and Synthesis (1998)Best Practices in Estimating …Financial Economics (1997)Financial EconomicsThe Valuation of Cash Flow Forecasts: An Empirical Analysis (1995)The Valuation of Cash Flow Fo…Multifactor models do not explain deviations from the CAPM (1995)Multifactor models do not exp…Finite sample properties of the generalized method of moments in tests of conditional asset pricing models (1994)Finite sample properties of t…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…The Variation of Economic Risk Premiums (1991)The Variation of Economic Ris…Business conditions and expected returns on stocks and bonds (1989)Business conditions and expec…The empirical foundations of the arbitrage pricing theory (1988)The empirical foundations of …The Relation Between Mean-Variance Efficiency and Arbitrage Pricing (1987)The Relation Between Mean-Var…Mimicking Portfolios and Exact Arbitrage Pricing (1987)Mimicking Portfolios and Exac…A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)A critique of the asset prici…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Efficient Capital Markets: A …CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…International Tests of the ZCAPM Asset Pricing Model (2022)International Tests of the ZC…The relationship between corporate governance practices and cost of capital in large listed companies of New Zealand and Singapore (2014)The relationship between corp…A New Asset Pricing Model Based on the Zero-Beta CAPM: Theory and Evidence (2012)A New Asset Pricing Model Bas…Estimation of Discount Rates in Latin America: empirical evidence and challenges (2010)Estimation of Discount Rates …CAPM for Estimating the Cost of Equity Capital: Interpreting the Empirical Evidence (2010)CAPM for Estimating the Cost …Global Risk Factors and the Cost of Capital (2004)Global Risk Factors and the C…Corporate Investment Policy (2003)Corporate Investment PolicyRisk, Return, and Equilibrium: Empirical Tests (1973)Measuring Fund Strategy and Performance in Changing Economic Conditions (1996)Modeling the conditional distribution of interest rates as a regime-switching process (1996)Asymmetric correlations of equity portfolios (2002)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Financial Intermediation and Delegated Monitoring (1984)An Intertemporal Capital Asset Pricing Model (1973)The relationship between return and market value of common stocks (1981)Industry costs of equity (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)The Behavior of Stock-Market Prices (1965)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Users of the world, unite! The challenges and opportunities of Social Media (2009)Does the Stock Market Overreact? (1985)Common risk factors in the returns on stocks and bonds (1993)Characteristics, Covariances, and Average Returns: 1929-1997 (1998)Anomalies and Market Efficiency (2002)What Factors Drive Global Stock Returns? (2011)CORPORATE INCOME TAXES AND THE COST OF CAPITAL: A CORRECTION (1963)Principles of Corporate Finance. (1981)Comparing the Accuracy and Explainability of Dividend, Free Cash Flow, and Abnormal Earnings Equity Value Estimates (2000)Social Mood and Financial Economics (2005)Estimating the Intertemporal Risk–Return Tradeoff Using the Implied Cost of Capital (2008)Efficient Capital Markets: II (1991)Multifactor Explanations of Asset Pricing Anomalies (1996)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)
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References

  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*15,723 cited
  • 1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1989Business conditions and expected returns on stocks and bonds3,934 cited
  • 1977A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory3,006 cited
  • 1991The Variation of Economic Risk Premiums1,740 cited
  • 1995Multifactor models do not explain deviations from the CAPM571 cited
  • 1995The Valuation of Cash Flow Forecasts: An Empirical Analysis512 cited
  • 1998Best Practices in Estimating the Cost of Capital: Survey and Synthesis374 cited
  • 1988The empirical foundations of the arbitrage pricing theory366 cited
  • 1994Finite sample properties of the generalized method of moments in tests of conditional asset pricing models346 cited
  • 1997Financial Economics233 cited
  • 1987Mimicking Portfolios and Exact Arbitrage Pricing

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215 cited
  • 1987The Relation Between Mean-Variance Efficiency and Arbitrage Pricing157 cited
  • Cited by

    • 2010CAPM for Estimating the Cost of Equity Capital: Interpreting the Empirical Evidence51 cited
    • 2012A New Asset Pricing Model Based on the Zero-Beta CAPM: Theory and Evidence25 cited
    • 2010Estimation of Discount Rates in Latin America: empirical evidence and challenges25 cited
    • 2022International Tests of the ZCAPM Asset Pricing Model22 cited
    • 2004Global Risk Factors and the Cost of Capital20 cited
    • 2003Corporate Investment Policy20 cited
    • 2014The relationship between corporate governance practices and cost of capital in large listed companies of New Zealand and Singapore17 cited