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http://hdl.handle.net/2451/27478
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| Title: | What Affects the Implied Cost of Equity Capital? |
| Authors: | Gode, Dan
Mohanram, Partha |
| Issue Date: | 3-Feb-2001 |
| Series/Report no.: | Dhananjay (Dan) K. Gode-01 |
| Abstract: | We estimate implied cost of equity capital for a sample of firms from
1984 to 1998 using the Ohlson and Juettner (2000) model that does not
make restrictive assumptions about clean surplus and payout policies. We
find that cost of equity capital is strongly positively associated with
conventional risk factors such as earnings variability, systematic and
unsystematic return volatility, and leverage, and is negatively
associated with analyst following. These associations are robust to
controls for industry membership and to running the regression in
changes instead of levels. Our results support the Ohlson-Juettner
metric as a robust and appealing measure of cost of equity capital. |
| URI: | http://hdl.handle.net/2451/27478 |
| Appears in Collections: | Accounting Working Papers
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