公司特定风险溢价:最新学术证据

David C. Smith, Brian Calvert
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引用次数: 2

摘要

我们提供了一个全面的和最新的综合实证研究,检查公司特定的风险溢价(csrp)。我们涵盖了一些新的论文,这些论文重新引发了一场关于公司特定风险是否被计入资本成本的学术辩论。我们表明,目前的证据支持最初的Fama和MacBeth(1973)的发现,即公司特定风险不能解释横截面股票收益的变化,风险证券的持有人似乎不会因承担公司特定风险而获得补偿。因此,最近的经验证据并不支持某些从业者的主张,即CSRP应包括在资本成本中。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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.
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