The role of market efficiency on implied cost of capital estimates: an international perspective

IF 0.8 Q4 BUSINESS, FINANCE

Annals of Finance Pub Date : 2020-10-28 DOI:10.1007/s10436-020-00374-0

David Schröder

引用次数: 2

Abstract

This study examines the role of market efficiency on international differences in the usefulness of the implied cost of capital (ICC) to measure expected stock returns. The analysis exploits cross-country differences in market efficiency around the world using a variety of empirical measures of market efficiency. A key methodological contribution of this paper is to assess the quality of the ICC as estimate of expected returns by evaluating its forecast error for subsequent stock returns. The results show that the accuracy of the ICC as measure of expected stock returns is positively associated with the countries’ level of market efficiency.

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市场效率对隐含资本成本估算的作用:国际视角

本研究考察了市场效率在隐含资本成本（ICC）衡量预期股票回报有用性的国际差异中的作用。该分析利用了各种市场效率的实证衡量标准，利用了世界各地市场效率的跨国差异。本文的一个关键方法学贡献是通过评估ICC对后续股票回报的预测误差来评估ICC作为预期回报估计的质量。结果表明，国际商会作为衡量预期股票回报的准确性与各国的市场效率水平呈正相关。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Annals of Finance BUSINESS, FINANCE-

CiteScore

2.00

自引率

10.00%

发文量

期刊介绍： Annals of Finance provides an outlet for original research in all areas of finance and its applications to other disciplines having a clear and substantive link to the general theme of finance. In particular, innovative research papers of moderate length of the highest quality in all scientific areas that are motivated by the analysis of financial problems will be considered. Annals of Finance''s scope encompasses - but is not limited to - the following areas: accounting and finance, asset pricing, banking and finance, capital markets and finance, computational finance, corporate finance, derivatives, dynamical and chaotic systems in finance, economics and finance, empirical finance, experimental finance, finance and the theory of the firm, financial econometrics, financial institutions, mathematical finance, money and finance, portfolio analysis, regulation, stochastic analysis and finance, stock market analysis, systemic risk and financial stability. Annals of Finance also publishes special issues on any topic in finance and its applications of current interest. A small section, entitled finance notes, will be devoted solely to publishing short articles – up to ten pages in length, of substantial interest in finance. Officially cited as: Ann Finance