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Costs Of Equity Capital And Model Mispricing
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Book Synopsis Costs of Equity Capital and Model Mispricing by : Lubos̆ Pástor
Download or read book Costs of Equity Capital and Model Mispricing written by Lubos̆ Pástor and published by . This book was released on 1998 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: Costs of equity for individual firms are estimated in a Bayesian framework using several factor-based pricing models. Substantial prior uncertainty about mispricing often produces an estimated cost of equity close to that obtained with mispricing precluded, even for a stock whose average return departs significantly from the pricing model's prediction. Uncertainty about which pricing model to use is less important, on average, than within-model parameter uncertainty. In the absence of mispricing uncertainty, uncertainty about factor premiums is generally the largest source of overall uncertainty about a firm's cost of equity, although uncertainty about betas is nearly as important
Book Synopsis Cost of Equity Capital and Model Mispricing by : Lubos Pástor
Download or read book Cost of Equity Capital and Model Mispricing written by Lubos Pástor and published by . This book was released on 1998 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Costs of Equity from Factor-Based Models by : Robert F. Stambaugh
Download or read book Costs of Equity from Factor-Based Models written by Robert F. Stambaugh and published by . This book was released on 2011 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt: Equity costs of capital for individual firms are estimated using several models that relate expected returns to betas on one or more pervasive factors. A Bayesian approach incorporates prior uncertainty about an asset's mispricing as well as uncertainty about betas and factor means. Substantial prior uncertainty about mispricing results in an estimated cost of equity close to that obtained with mispricing ruled out. Uncertainty about which pricing model to use appears to be less important, on average, than within-model parameter uncertainty. In the absence of mispricing uncertainty, uncertainty about factor means is generally the most important source of overall uncertainty about a firm's cost of equity, although uncertainty about betas is nearly as important.
Book Synopsis Cost of Capital by : Shannon P. Pratt
Download or read book Cost of Capital written by Shannon P. Pratt and published by John Wiley & Sons. This book was released on 2003-02-28 with total page 354 pages. Available in PDF, EPUB and Kindle. Book excerpt: An authoritative text on cost of capital for both the nonprofessional and the valuation expert -- now revised and expanded In endeavoring to practice sound corporate finance, there is perhaps nothing so critical, nor slippery, as cost of capital estimation. The second edition of Cost of Capital: Estimation and Applications combines a state-of-the-art treatise on cost of capital estimation with an accessible introduction for the nonprofessional. This comprehensive yet usable guide begins with an exposition of basic concepts understandable to the lay person and proceeds gradually from simple applications to the more complex procedures commonly found in the marketplace. New features of the revised and expanded Second Edition include chapters on Economic Value Added (EVA) and reconciling cost of capital in the income approach with valuation multiples in the market approach, as well as expanded coverage of cost of capital in the courts and handling discounts for marketability. Cost of Capital remains an incomparable resource for all parties interested in effective business valuation.
Book Synopsis The Cost of Capital by : Seth Armitage
Download or read book The Cost of Capital written by Seth Armitage and published by Cambridge University Press. This book was released on 2005-03-17 with total page 380 pages. Available in PDF, EPUB and Kindle. Book excerpt: A thorough exposition of the theory relating to the cost of capital.
Book Synopsis The Federal Reserve Banks' Imputed Cost of Equity Capital by : Edward J. Green
Download or read book The Federal Reserve Banks' Imputed Cost of Equity Capital written by Edward J. Green and published by . This book was released on 2001 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Estimating beta and Cost of Equity Capital for Non-traded Transportation Companies by : Sascha Heller
Download or read book Estimating beta and Cost of Equity Capital for Non-traded Transportation Companies written by Sascha Heller and published by diplom.de. This book was released on 2014-04-11 with total page 71 pages. Available in PDF, EPUB and Kindle. Book excerpt: Inhaltsangabe:Introduction: Estimating the cost of equity capital has two major implications. First, it reflects the return to a company s stock which an equity investor expects to receive from his investment. He makes his decision upon whether he could earn a higher rate of return in an alternative investment of equivalent risk. Second, a company must earn the cost of capital (both debt and equity) through its undertaken projects. It is hence relevant for decisions on undertaking positive net present value projects which are of similar risk as the company s average business activities. It also substantially influences the pricing of an entire firm as far as the valuation is based on a discounted cash flow model. A lot of effort has been done in the past to achieve accurate models which precisely determine this cost. Building on the modern portfolio theory of Harry Markowitz, a widely used and commonly known model in this context is the Capital Asset Pricing Model (CAPM). Introduced by several researchers in the 1960s, it is still one of the most applied methods for practitioners. However, it suffers from several shortcomings, including statistical caveats, economic assumptions, the absence of market frictions and the behaviour of market participants. An upgrade to this model was provided by Stephen Ross which has resulted in the Arbitrage Pricing Theory (APT). It combines several risk factors in addition to one market proxy, as it is the case in the CAPM, and is less restrictive in its assumptions. But both CAPM and APT require observable market data, i.e. stock prices, of the analysed companies. These models thus only work for publicly listed firms. If research should be done on non-traded companies, however, an alternative methodology must be applied. In general, data from the balance sheet, the income statement and the cash flow statement are available for both listed and non-listed companies. While accounting data have widely been used in the past as well and have been assumed to provide valuable information in explaining stock returns, this line of research has dissipated over time. Only a few key figures, such as size and financial leverage, are still considered to be relevant. However, they can be used to indirectly estimate a firm s beta by assessing their explanatory power in a CAPM or APT framework. This methodology is particularly beneficial for firms which are not listed because there cannot be observed any stock price movements. [...]
Book Synopsis Handbook of the Fundamentals of Financial Decision Making by : Leonard C. MacLean
Download or read book Handbook of the Fundamentals of Financial Decision Making written by Leonard C. MacLean and published by World Scientific. This book was released on 2013 with total page 941 pages. Available in PDF, EPUB and Kindle. Book excerpt: This handbook in two parts covers key topics of the theory of financial decision making. Some of the papers discuss real applications or case studies as well. There are a number of new papers that have never been published before especially in Part II.Part I is concerned with Decision Making Under Uncertainty. This includes subsections on Arbitrage, Utility Theory, Risk Aversion and Static Portfolio Theory, and Stochastic Dominance. Part II is concerned with Dynamic Modeling that is the transition for static decision making to multiperiod decision making. The analysis starts with Risk Measures and then discusses Dynamic Portfolio Theory, Tactical Asset Allocation and Asset-Liability Management Using Utility and Goal Based Consumption-Investment Decision Models.A comprehensive set of problems both computational and review and mind expanding with many unsolved problems are in an accompanying problems book. The handbook plus the book of problems form a very strong set of materials for PhD and Masters courses both as the main or as supplementary text in finance theory, financial decision making and portfolio theory. For researchers, it is a valuable resource being an up to date treatment of topics in the classic books on these topics by Johnathan Ingersoll in 1988, and William Ziemba and Raymond Vickson in 1975 (updated 2 nd edition published in 2006).
Book Synopsis Handbook of the Economics of Finance by : George M. Constantinides
Download or read book Handbook of the Economics of Finance written by George M. Constantinides and published by Elsevier. This book was released on 2003-11-04 with total page 654 pages. Available in PDF, EPUB and Kindle. Book excerpt: Volume 1A covers corporate finance: how businesses allocate capital - the capital budgeting decision - and how they obtain capital - the financing decision. Though managers play no independent role in the work of Miller and Modigliani, major contributions in finance since then have shown that managers maximize their own objectives. To understand the firm's decisions, it is therefore necessary to understand the forces that lead managers to maximize the wealth of shareholders.
Book Synopsis The Effect of Exchange-listing on a Firm's Cost of Equity Capital by : Dan S. Dhaliwal
Download or read book The Effect of Exchange-listing on a Firm's Cost of Equity Capital written by Dan S. Dhaliwal and published by . This book was released on 1980 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Diversification, the Capital Asset Pricing Model the Cost of Equity Capital by : Harvard University. Harvard Business School
Download or read book Diversification, the Capital Asset Pricing Model the Cost of Equity Capital written by Harvard University. Harvard Business School and published by . This book was released on 1976 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Valuation of Common Stock and the Cost of Equity Capital by : John Gregory McDonald
Download or read book Valuation of Common Stock and the Cost of Equity Capital written by John Gregory McDonald and published by . This book was released on 1967 with total page 208 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Problems In Portfolio Theory And The Fundamentals Of Financial Decision Making by : Leonard C Maclean
Download or read book Problems In Portfolio Theory And The Fundamentals Of Financial Decision Making written by Leonard C Maclean and published by World Scientific Publishing Company. This book was released on 2016-09-29 with total page 212 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book consists of invaluable introductions, tutorials and problems which are helpful for teaching purposes and have a very broad appeal and usage. The problems cover many aspects of static and dynamic portfolio theory as well as other important subjects such as arbitrage and asset pricing, utility theory, stochastic dominance, risk aversion and static portfolio theory, risk measures, dynamic portfolio theory and asset allocation. This material could be used with important books that cover these topics including MacLean-Ziemba's The Handbook of the Fundamentals of Financial Decision Making, and Ziemba-Vickson's Stochastic Optimization Models in Finance.
Book Synopsis The Economic Costs of US Stock Mispricing by :
Download or read book The Economic Costs of US Stock Mispricing written by and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The USAGE model for the United States is used to quantify economic costs due to stock mispricing, made operational by shocking Tobin's q. The simulations quantify a potentially large impact even in the most favorable environment, where export demand holds up, and, the dollar is pro-cyclical. A two-year investment boom in two sectors increases consumption by a Net Present Value (NPV) amount of nearly one per cent, due to a positive investment externality onto the US terms of trade. If the investment is wasted, however, the consumption loss is nearly one-half of a per cent. A 5 year 'capital strike' across the whole economy subsequent to the boom-mimicking financial distress from a burst bubble - shaves around 10 per cent off consumption. Given these significant costs associated with "boom" and "bust" equity markets, we consider some, policy options that might result in greater stability in these markets.
Book Synopsis Effective Investments on Capital Markets by : Waldemar Tarczyński
Download or read book Effective Investments on Capital Markets written by Waldemar Tarczyński and published by Springer. This book was released on 2019-07-17 with total page 510 pages. Available in PDF, EPUB and Kindle. Book excerpt: This proceedings volume presents current research and innovative solutions into capital markets, particularly in Poland. Featuring contributions presented at the 10th Capital Market Effective Investments (CMEI 2018) conference held in Międzyzdroje, Poland, this book explores the future of capital markets in Poland as well as comparing it with the capital markets of other developed regions around the world. Divided into four parts, the enclosed papers provide a background into the theoretical foundations of capital market investments, explores different approaches—both classical and contemporary—to investment decision making, analyzes the behaviors of investors using experimental economics and behavioral finance, and explores practical issues related to financial market investments, including real case studies. In addition, each part of the book begins with an introductory chapter written by thematic editors that provides an outline of the subject area and a summary of the papers presented.
Book Synopsis Cross-border Valuation by : Gordon M. Bodnar
Download or read book Cross-border Valuation written by Gordon M. Bodnar and published by . This book was released on 2003 with total page 74 pages. Available in PDF, EPUB and Kindle. Book excerpt: "How does a firm in one country evaluate an investment in a firm in another country, or how does it evaluate a foreign project that the firm itself is undertaking? The firm must estimate future free cash flows just as in a domestic project, but choosing an appropriate discount rate is a particular challenge. This study examines the determinants of the discount rate for an international acquisition or project by examining the sources of risk in an international setting. These risks include stock-market price risk measured with various versions of the capital asset pricing model, as well as exchange rate risk and political risk. To measure stock market risk, both segmented and integrated models of the world equity markets are considered. The emphasis of the study is on some of the practical aspects of estimation, particular for markets where no comparable investments exist on which to base estimates of risk premiums. To show how each of these risks might be measured, the study reports estimates for a representative French firm, Thals. The estimates range widely depending on whether or not the equity market is globally integrated"--NBER website
Book Synopsis An Examination of Risk, the Cost of Equity Capital and the Capital Asset Pricing Model by : Trevor William Sweatman
Download or read book An Examination of Risk, the Cost of Equity Capital and the Capital Asset Pricing Model written by Trevor William Sweatman and published by . This book was released on 1983 with total page 488 pages. Available in PDF, EPUB and Kindle. Book excerpt:
