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Estimating the cost of capital with basis assets

机译：用基础资产估算资本成本

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摘要

Instead of using industry groups or asset pricing models to estimate the cost of capital we propose using risk equivalent classes known as basis assets. A basis asset is constructed by grouping firms together whose returns indicate they share a common risk exposure, which in theory permits a precise and accurate expected return estimate. Thus, knowing to which basis asset a firm belongs, the firm's cost of capital can be obtained. Empirically, we show that basis assets lead to superior cost of capital estimates when compared with widely used industry groupings. This means we are no longer reliant on asset pricing models or industry groups to estimate the cost of capital of a firm.
机译：与其使用行业集团或资产定价模型来估算资本成本，我们建议使用被称为基础资产的风险等价类。基本资产是通过将公司分组在一起来构建的，这些公司的收益表明它们共享共同的风险敞口，从理论上讲，这可以提供准确而准确的预期收益估算。因此，知道一个公司属于哪个基础资产，就可以获得该公司的资本成本。从经验上讲，与广泛使用的行业组相比，基础资产可导致较高的资本估算成本。这意味着我们不再依赖资产定价模型或行业集团来估计公司的资本成本。

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  • 来源
    《Journal of banking & finance》 |2012年第11期|p.3071-3079|共9页
  • 作者

    Stephen J. Brown; Paul Lajbcygier; Woon Weng Wong;

  • 作者单位

    Department of Finance, Stern School of Business, New York University, 44 West 4th Street, New York, NY 10012-1126, United States,Department of Finance, University of Melbourne, Level 12, 198 Berkeley Street, Victoria 3010, Australia;

    Department of Accounting and Finance, Faculty of Business and Economics, Monash University, Building 1 IE, Clayton, Victoria 3800, Australia,Department of Econometrics and Business Statistics, Faculty of Business and Economics, Monash University, Building 1 IE, Clayton, Victoria 3800, Australia;

    Department of Econometrics and Business Statistics, Faculty of Business and Economics, Monash University, Building 1 IE, Clayton, Victoria 3800, Australia;

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  • 原文格式 PDF
  • 正文语种 eng
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  • 关键词

    cost of capital; risk equivalent classes; industry; basis assets;

    机译：资本成本;风险等值类别;行业;基本资产;

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