I construct examples of valuing insurance loss liabilities with asset pricing models, comparing the Rubinstein-Leland model with the better-known CAPM. The two models give different values only if the loss payment is asymmetric and correlated with the market portfolio, conditions which can...

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...