{"title":"公司特定风险溢价:最新学术证据","authors":"David C. Smith, Brian Calvert","doi":"10.2139/ssrn.1791213","DOIUrl":null,"url":null,"abstract":"We provide a comprehensive and up-to-date synthesis of empirical studies examining company-specific risk premiums (CSRPs). We cover a number of new papers that have revived an academic debate as to whether or not company-specific risk is priced into the cost of capital. We show that the current evidence supports the original Fama and MacBeth (1973) finding that company-specific risk does not explain variation in cross-sectional stock returns and that holders of risky securities do not appear to receive compensation for bearing company-specific risk. Thus, the most recent empirical evidence does not support the assertions of some practitioners that the CSRP should be included in the cost of capital.","PeriodicalId":162065,"journal":{"name":"LSN: Law & Economics: Private Law (Topic)","volume":"64 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2011-03-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"2","resultStr":"{\"title\":\"Company-Specific Risk Premiums: Update on the Scholarly Evidence\",\"authors\":\"David C. Smith, Brian Calvert\",\"doi\":\"10.2139/ssrn.1791213\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"We provide a comprehensive and up-to-date synthesis of empirical studies examining company-specific risk premiums (CSRPs). We cover a number of new papers that have revived an academic debate as to whether or not company-specific risk is priced into the cost of capital. We show that the current evidence supports the original Fama and MacBeth (1973) finding that company-specific risk does not explain variation in cross-sectional stock returns and that holders of risky securities do not appear to receive compensation for bearing company-specific risk. Thus, the most recent empirical evidence does not support the assertions of some practitioners that the CSRP should be included in the cost of capital.\",\"PeriodicalId\":162065,\"journal\":{\"name\":\"LSN: Law & Economics: Private Law (Topic)\",\"volume\":\"64 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2011-03-20\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"2\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"LSN: Law & Economics: Private Law (Topic)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.1791213\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"LSN: Law & Economics: Private Law (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.1791213","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Company-Specific Risk Premiums: Update on the Scholarly Evidence
We provide a comprehensive and up-to-date synthesis of empirical studies examining company-specific risk premiums (CSRPs). We cover a number of new papers that have revived an academic debate as to whether or not company-specific risk is priced into the cost of capital. We show that the current evidence supports the original Fama and MacBeth (1973) finding that company-specific risk does not explain variation in cross-sectional stock returns and that holders of risky securities do not appear to receive compensation for bearing company-specific risk. Thus, the most recent empirical evidence does not support the assertions of some practitioners that the CSRP should be included in the cost of capital.