Tekijä: | Fama, E. F. French, K. R. |
Otsikko: | Industry costs of equity |
Lehti: | Journal of Financial Economics
1997 : FEB, VOL. 43:2, p. 153-193 |
Asiasana: | INDUSTRIES ASSETS EQUITY CAPITAL PRICING RISK |
Kieli: | eng |
Tiivistelmä: | The paper deals with costs of equity and asset pricing stating that estimates of the cost of equity for industries are imprecise. Annual standard errors of more than 3.0 % are typical for both the CAPM and the three factor model of Fama and French (1993). These large standard errors are the result of (i) uncertainty about true factor risk premiums and (ii) imprecise estimates of the loadings of industries on the risk factors. Estimates of the cost of equity for firms and projects are surely even less precise. |
SCIMA