Toward an Implied Cost of Capital

By William R. Gebhardt, Charles M.C. Lee, Bhaskaran Swaminathan. 2001

1,827 citations recorded by the source corpus.

Subfields: Finance, Strategy and Management

View Paper: https://www.semanticscholar.org/paper/8ba739b70edbd9633037084465cb611af3234c46

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Citations in the corpus

Residual Income Risk, Intrinsic Values, and Share Prices (2003, background): “Prior studies report cross-sectional averages of implied rates of return or risk premia, but they do not provide dollar estimates of the economic effects of ignoring risk (e.g., Claus and Thomas 2001; Gebhardt et al. 2001).”
A New Approach to Predicting Analyst Forecast Errors: Do Investors Overweight Analyst Forecasts? (2013, background): “Mendenhall (1991), Stickel (1991), Gleason and Lee (2003), Ivkovic and Jegadeesh (2004), Jegadeesh et al. (2004)). Similarly, Womack (1996) and Barber et al.”
Agency Costs of Free Cash Flow and the Effect of Shareholder Rights on the Implied Cost of Equity Capital (2010, neutral): “Third, the implementation of the OJ (2005) model by Gode and Mohanram (2003) assumes that short-term earnings growth decays asymptotically to a constant rate in the long run and that the rate of decay also depends on this constant rate.”
The Implied Cost of Capital: A New Approach (2012, positive): “In line with Gebhardt, Lee, and Swaminathan (2001), we estimate expected ROE for year t+1 to t+3 using the earnings forecasts from our crosssectional model and book equity determined based on clean surplus accounting (B i,t+τ = B i,t+τ-1 + E i,t+τ –”
Company reputation and the cost of equity capital (2014, positive): “A measure following Gebhardt et al. (2001) (rGLS) Our third measure, based on Gebhardt et al. (2001), is estimated from the following model: Pt ¼ Bt þ FROEtþ1 rGLS ð1þ rGLSÞ Bt FROEtþ2 rGLS ð1þ rGLSÞ2 Bt Btþ1 þ X 11 i¼3 FROEtþ1 rGLS ð1þ rGLSÞi Btþ1 i FROEtþ11 rGLS rGLS ð1þ rGLSÞ11 Btþ11 ðVIIÞ where…”
Predicting market returns using aggregate implied cost of capital (2013, neutral): “…unconditional equity premium (Claus and Thomas (2001) and Fama and French (2002)), test theories on betas (Kaplan and Ruback (1995), Botosan (1997), Gebhardt, Lee, and Swaminathan (2001), Gode and Mohanram (2003), Brav, Lehavy, and Michaely (2005), and Easton and Monahan (2005)), international…”
Policy uncertainty, investment, and the cost of capital (2018, positive): “3 For earlier empirical evidence on the negative relation between uncertainty and corporate investment, see Pindyck and Solimano (1993), Leahy and Whited (1996), Guiso and Parigi (1999), Bond and Cummins (2004), Eisdorfer (2008), and Badertscher et al.”
Evaluating cross-sectional forecasting models for implied cost of capital (2014, positive): “The return spreads for the ICC metrics, especially those from the EP and RI model, compare favorably with the results shown in prior literature (Gode and Mohanram 2003, Gebhardt et al. 2001).”
Political connections and the cost of equity capital (2012, positive): “First, we report a negative and highly significant coefficient of the proxy for firm size (SIZE) and ANALYSTCOVR—our proxy for firm size and information availability—across all models, which is consistent with Fama and French (1992) and Gebhardt et al. (2001).”