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Consumption Risk and the Cost of Equity Capital

Jagannathan, Ravi - 2005

We demonstrate, using data for the period 1954-2003, that differences in exposure to consumption risk explains cross sectional differences in average excess returns (cost of equity capital) across the 25 benchmark equity portfolios constructed by Fama and French (1993). We use yearly returns on...

Persistent link: https://www.econbiz.de/10012467661

Cross-Border Valuation : The International Cost of Equity Capital

Bodnar, Gordon M. - 2003

political risk. To measure stock market risk, both segmented and integrated models of the world equity markets are considered …

Persistent link: https://www.econbiz.de/10012468579

External Equity Financing Shocks, Financial Flows, and Asset Prices

Belo, Frederico - 2014

The ability of corporations to raise external equity finance varies with macroeconomic conditions, suggesting that the cost of equity issuance is time-varying. Using cross sectional data on U.S. publicly traded firms, we construct an empirical proxy of an aggregate shock to the cost of equity...

Persistent link: https://www.econbiz.de/10012458455

Does Financial Constraint Affect Shareholder Taxes and the Cost of Equity Capital?

Chen, Chongyang - 2011

We show that firms with the least elastic demand for equity capital should benefit the most from reductions in shareholder taxes. Consistent with this prediction, we find that, following 1997 and 2003 cuts in U.S. individual shareholder taxes, financially constrained firms, and particularly...

Persistent link: https://www.econbiz.de/10012461488

Costs of Equity Capital and Model Mispricing

Pastor, Lubos - 1998

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...

Persistent link: https://www.econbiz.de/10012472312

In a World Without Borders : The Impact of Taxes on Internet Commerce

Goolsbee, Austan - 1998

The rapid rise in sales over the Internet has generated debate over the taxation of such transactions since the buyers … the effects that local sales taxes have on Internet commerce. The results show that, controlling for many observable … characteristics, people who live in locations with high sales taxes are significantly more likely to buy things over the Internet. The …

Persistent link: https://www.econbiz.de/10012471949

Internet Rising, Prices Falling : Measuring Inflation in a World of E-Commerce

Goolsbee, Austan D. - 2018

We use Adobe Analytics data on online transactions for millions of products in many different categories from 2014 to 2017 to shed light on how online inflation compares to overall inflation, and to gauge the magnitude of new product bias online. The Adobe data contain transaction prices and...

Persistent link: https://www.econbiz.de/10012453070

SEC Regulation Fair Disclosure, Information, and the Cost of Capital

Gomes, Armando - 2004

We empirically investigate the effects of the adoption of Regulation Fair Disclosure ( Reg FD') by the U.S. Securities and Exchange Commission in October 2000. This rule was intended to stop the practice of selective disclosure,' in which companies give material information only to a few...

Persistent link: https://www.econbiz.de/10012468126

The Real Costs of Disclosure

Edmans, Alex - 2013

This paper models the effect of disclosure on real investment. We show that, even if the act of disclosure is costless, a high-disclosure policy can be costly. Some information ("soft") cannot be disclosed. Increased disclosure of "hard" information augments absolute information and reduces the...

Persistent link: https://www.econbiz.de/10012459240

Disclosure and the Cost of Capital : Evidence from Firms' Responses to the Enron Shock

Leuz, Christian - 2009

This paper examines the link between disclosure and the cost of capital. We exploit an exogenous cost of capital shock created by the Enron scandal in Fall 2001 and analyze firms' disclosure responses to this shock. These tests are opposite to the typical research design that analyzes cost of...

Persistent link: https://www.econbiz.de/10012463751