Estimating the Intertemporal Risk-Return Tradeoff Using the Implied Cost of Capital

By Ľuboš Pástor, Meenakshi Sinha, Bhaskaran Swaminathan. 2006

572 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/6a0814b6c123ffd231258398f9991cb7d03400e1

Citations in the corpus

• Executive Pay Disparity and the Cost of Equity Capital (2013, unknown): “The cost of equity capital estimated following Gebhardt et al. (2001) and Pástor et al. (2008) minus the risk-free rate measured as the yield on the 10-year Treasury bonds.”
• Adopting a Label: Heterogeneity in the Economic Consequences of IFRS Adoptions * (2007, unknown): “The mean cost of capital for firms following 16 We recognize that there is a debate about the empirical validity of implied cost of capital estimates (Botosan and Plumlee, 2005; Easton and Monahan, 2005; Guay et al., 2005; Pastor et al., 2006).”
• Corporate social responsibility, the cost of equity capital and ownership structure: An analysis of Chinese listed firms (2015, unknown): “The ex ante cost of equity implied in analysts’ earnings forecasts and stock prices may provide a better measure for the expected return, since it makes an explicit attempt to isolate the cost of capital effects from growth and cash flow effects (Hail and Leuz, 2006), and circumvents the failure of ”
• Predicting market returns using aggregate implied cost of capital (2013, unknown): “Following the literature, we compare the performance of alternative predictive variables using the out-of-sample R2 statistics, R2os.”
• Market Expectations in the Cross Section of Present Values (2012, unknown): “…and dividends, including van Binsbergen and Koijen (2010), Ghosh and Constantinides (2010), Ferreira and Santa-Clara (2010), Cochrane (2008a,b), Pástor, Sinha, and Swaminathan (2008), Rytchkov (2008), Campbell and Thompson (2008), Lettau and Van Nieuwerburgh (2008), Ang and Bekaert (2007),…”
• Corporate Environmental Responsibility and the Cost of Capital: International Evidence (2016, unknown): “These models constitute an appealing alternative to the failure of traditional asset pricing models to capture the cost of equity (Elton 1999; Fama and French 1997; Pástor et al. 2008; El Ghoul et al. 2015).”
• Multifactor models and their consistency with the ICAPM (2012, unknown): “An incomplete list of recent papers includes Scruggs (1998), Whitelaw (2000), Brandt and Kang (2004), Ghysels, SantaClara, and Valkanov (2005), Guo and Whitelaw (2006), Lundblad (2007), Pástor, Sinha, and Swaminathan (2008), Bali, Demirtas, and Levy (2009), and Guo, Savickas, Wang, and Yang (2009).”
• Predictive Regressions: A Present-Value Approach (2010, unknown): “…literature on present-value models, see Cochrane (2007), Lettau and Van Nieuwerburgh (2006), Pástor and Veronesi (2003), Pástor and Veronesi (2006), Pástor, Sinha, and Swaminathan (2007), Bekaert, Engstrom, and Grenadier (2001), Bekaert, Engstrom, and Grenadier (2005), Burnside (1998), Ang and…”