Showing 1 - 10 of 12
Persistent link: https://www.econbiz.de/10003629793
Persistent link: https://www.econbiz.de/10009127874
Persistent link: https://www.econbiz.de/10009568703
Persistent link: https://www.econbiz.de/10009230306
Persistent link: https://www.econbiz.de/10011475230
Persistent link: https://www.econbiz.de/10012419275
Using a single-factor Global CAPM (GCAPM) and a two-factor International CAPM (InCAPM), we study the effect of foreign exchange (FX) exposure on the term structure of industry cost of equity of 39 U.S. industries. Following Ang and Liu (2004), we estimate the term structure of industry expected...
Persistent link: https://www.econbiz.de/10013008545
Persistent link: https://www.econbiz.de/10012617508
For a large sample of U.S. companies, we compare the cost of equity estimates of a two-factor international CAPM with those of the single-factor domestic CAPM and the single-factor global CAPM. Our purpose is to assess how much difference it makes for U.S. firms to use the two-factor ICAPM...
Persistent link: https://www.econbiz.de/10013115952
For US firms with extreme foreign exchange (FX) exposure levels, we ask whether the single-factor global capital asset pricing model (CAPM) yields significantly different cost of equity estimates from the local CAPM. For a sample of US firms from 2000 to 2007, we find a clear and statistically...
Persistent link: https://www.econbiz.de/10012940146