Fama-French, CAPM, and implied cost of equity

被引：5

作者：

Mishra, Dev R. ^{[1
]}

O'Brien, Thomas J. ^{[2
]}

机构：

[1] Univ Saskatchewan, Edwards Sch Business, 25 Campus Dr, Saskatoon, SK S7N 5A7, Canada

[2] Univ Connecticut, Sch Business, 2100 Hillside Rd, Storrs, CT 06269 USA

来源：

JOURNAL OF ECONOMICS AND BUSINESS | 2019年 / 101卷

关键词：

CAPM; Fama-French three-factor model; Implied cost of equity; Size factor; Value factor; Ex ante; Geometric mean; CROSS-SECTION; RISK; GROWTH; RETURN; VALUATION; FORECASTS; PREMIA; CHOICE; STOCKS;

D O I：

10.1016/j.jeconbus.2018.08.002

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This study uses U.S. implied cost of equity observations to compare the CAPM with both ex ante and ex post versions of the Fama-French three-factor model. The ex ante version is a simple theoretical model that requires mutual consistency among the factor risk premium estimates, given the market's level of risk aversion. In contrast, an ex post version is "unrestricted", because the factor risk premium estimates are based on historical returns. The ex ante version explains the implied cost of equity observations better than the CAPM and two popular ex post versions.

引用

页码：73 / 85

页数：13

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