If a Construct Affects Mispricing No Affirmative Inference Can Be Drawn About the Effect of the Construct on Expected Return from the Relation of the Construct with the Implied Cost of Capital: Evidence from Accrual Quality

2015 ◽  
Author(s):  
Jing Fang
Keyword(s):  
Cost Of Capital ◽  
Expected Return ◽  
Accrual Quality ◽  
Implied Cost Of Capital

scholarly journals The Small-Sized Premium: Is It Really Relevant? Evidence from the European Equity Market

2020 ◽  
Vol 9 (3) ◽  
pp. 85
Author(s):  
Renato Salvatore Camodeca ◽  
Christian Prinoth ◽  
Umberto Sagliaschi
Keyword(s):  
Cost Of Capital ◽  
Global Financial Crisis ◽  
Expected Return ◽  
Valuation Model ◽  
Relevant Evidence ◽  
Size Premium ◽  
Implied Cost Of Capital ◽  
Ex Post ◽  
Asset Pricing Anomalies ◽  
Ex Ante

The valuation of a company reflects the expected return or equivalently, the cost of capital that investors demand in exchange for the risk assumed. Despite the ex-ante nature of the problem, the majority of empirical analysis has focused on factors explaining expected returns from an ex-post perspective. In this paper, we take a different approach and try to identify which factors are ex-ante included in discount rates, with particular attention to the so-called size premium. Starting from observed market capitalisations and company fundamentals, we obtain the implied cost of capital from the reverse engineering of a carefully designed fundamental valuation model. Panel data regressions are used to investigate the existence of a relation between the implied cost of capital and the firm’s size, including other control variables representative of the most cited asset pricing “anomalies”. Our sample comprises European non-financial stocks listed on primary markets, with half-yearly observations starting from the aftermath of the 2008 global financial crisis. Contrary to common wisdom, we find that the firm’s size has no tangible impact to explain the implied cost of capital. 

The Implied Cost of Capital: Accounting for Growth

2019 ◽  
Author(s):  
Stephen H. Penman ◽  
Julie Zhu ◽  
Haofei Wang
Keyword(s):  
Cost Of Capital ◽  
Implied Cost Of Capital

Dividend Taxes and Implied Cost of Capital

2004 ◽  
Author(s):  
Dan S. Dhaliwal ◽  
Linda K. Krull ◽  
Oliver Zhen Li ◽  
William Moser
Keyword(s):  
Cost Of Capital ◽  
Implied Cost Of Capital ◽  
Dividend Taxes
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