Purpose – The purpose of this paper is to assess how much difference it makes for US firms to use the two‐factor ICAPM to estimate their cost of equity instead of a single‐factor CAPM. Design/methodology/approach – For a large sample of US companies, the authors compare the empirical...

Purpose – The purpose of this paper is to assess how much difference it makes for US firms to use the two-factor ICAPM to estimate their cost of equity instead of a single-factor CAPM. Design/methodology/approach – For a large sample of US companies, the authors compare the empirical cost of...