Assessing Alternative Proxies for the Expected Risk Premium

By Christine A. Botosan, Marlene A. Plumlee. 2005

762 citations recorded by the source corpus.

Subfields: Accounting, Finance, Strategy and Management

View Paper: https://www.semanticscholar.org/paper/d45365436a5b412d4a679ddf495e20213ecb98c4

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Citations in the corpus

Customer Concentration Risk and the Cost of Equity Capital (2016, methodology): “Following Botosan and Plumlee (2005), we involve all firms, including those with negative ROEs to compute the industry ROE.”
An Evaluation of Accounting-Based Measures of Expected Returns (2005, background): “Botosan and Plumlee (2005) rank measures of expected returns by comparing coefficients from regressions of expected return proxies on assumed risk factors (e.g., CAPM beta, equity market value, leverage, etc.).”
Economic Consequences of Key Performance Indicators' Disclosure Quality (2015, neutral): “In line with Botosan and Plumlee (2005), they again conclude that 𝑟𝐷𝐼𝑉 and 𝑟𝑃𝐸𝐺 are the most valid and reliable proxies.”
Corporate Social Responsibility as a Strategic Shield Against Costs of Earnings Management Practices (2014, methodology): “We use the Price-Earnings-Growth (PEG) ratio as a measure of cost of equity capital based on the Easton (2004) model in a similar way as in Botosan and Plumlee (2005), Francis et al. (2008a), Blanco et al. (2009) and El Ghoul et al. (2011).”
Earnings Smoothness, Average Returns, and Implied Cost of Equity Capital (2010, neutral): “This adds noise to the analysis and could lead to low power tests (Botosan and Plumlee 2005). I address this concern in the next section by grouping stocks into portfolios to help mitigate the effects of firm-specific noise. Second, information surprises may not be mean zero over the sample period, ”
The Role of Information Precision in Determining the Cost of Equity Capital (2004, methodology): “In comparison, Botosan and Plumlee (2003a) employ a sample spanning the years 1983 through 1993 and estimate a mean (median) value for rDIVPREM of 6.4% (5.7%).”
Carbon disclosure, emission intensity and cost of equity capital: multi‐country evidence (2019, neutral): “Several approaches have been documented for estimating COC; however, Botosan and Plumlee (2005) recommend Easton’s (2004) approach as superior for capturing expected return, because of its consistency and predictability because it is related to a firm’s idiosyncratic risk (Connors and Silva-Gao,…”
Shareholder rights, financial disclosure and the cost of equity capital (2006, background): “use, have a number of advocates, Botosan and Plumlee (2005) argue that the Easton PEG formula is more reliably associated with risk factors.”
Cross-sectional variation in the economic consequences of international accounting harmonization: The case of mandatory IFRS adoption in the UK ☆ (2007, result): “Although some studies suggest possible weaknesses of such an approach (Easton, 2006; Guay, Kothari, and Shu, 2005) other studies show that their estimates capture common proxies of risk (e.g., Gebhardt et al., 2001; Gode and Mohanram, 2003; Botosan and Plumlee, 2005 ).”
Multiple large shareholders, control contests, and implied cost of equity (2008, background): “For example, while evidence in Botosan and Plumlee (2005) suggests that KGLS is an inferior proxy for the cost of equity compared to estimates based on other discounted valuation models, Guay et al. (2005) find that KGLS is the best predictor of expected returns.”
Predicting market returns using aggregate implied cost of capital (2013, neutral): “…(Wu and Zhang (2011)), cross-sectional expected returns (Hou, van Dijk, and Zhang (2010)), stock return volatility (Friend, Westerfield, and Granito (1978)), and the cost of equity (Hail and Leuz (2006), Botosan and Plumlee (2005), Hughes, Liu, and Liu (2009), and Lee, So, and Wang (2010)).”
The effect of carbon risk on the cost of equity capital (2015, background): “…the book-to-market ratio (Fama an French, 1992, 1995; Dhaliwal et al., 2008), variance of financial analysts' earnings forecasts (Chen et al., 2004; Botosan and Plumlee, 2005), return-on-assets (Dhaliwal et al., 2008; Hope et al., 2009; Pittman and Fortin, 2004), and firm size (Amihud and…”