贝塔估计精度与企业投资效率

IF 7.2 1区经济学 Q1 BUSINESS, FINANCE

Journal of Corporate Finance Pub Date : 2024-12-15 DOI:10.1016/j.jcorpfin.2024.102728

Lee Biggerstaff, Brad Goldie, Haimanot Kassa

{"title":"贝塔估计精度与企业投资效率","authors":"Lee Biggerstaff, Brad Goldie, Haimanot Kassa","doi":"10.1016/j.jcorpfin.2024.102728","DOIUrl":null,"url":null,"abstract":"<div><div>Survey evidence suggests most firms use the CAPM to estimate their cost of equity. Previous research has documented these estimates can be extremely imprecise. We study the impact of the precision of beta estimates on firm investment decisions, and find that firms with precise beta estimates invest closer to their expected levels. We employ quantile regressions to further examine the relationship between <em>Beta Precision</em> and investment levels and find that firms with more precise betas tend to avoid extremes in investment levels. Finally, we show that precision in the estimation of cost of equity is associated with higher risk-adjusted stock returns.</div></div>","PeriodicalId":15525,"journal":{"name":"Journal of Corporate Finance","volume":"91 ","pages":"Article 102728"},"PeriodicalIF":7.2000,"publicationDate":"2024-12-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Beta estimation precision and corporate investment efficiency\",\"authors\":\"Lee Biggerstaff, Brad Goldie, Haimanot Kassa\",\"doi\":\"10.1016/j.jcorpfin.2024.102728\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><div>Survey evidence suggests most firms use the CAPM to estimate their cost of equity. Previous research has documented these estimates can be extremely imprecise. We study the impact of the precision of beta estimates on firm investment decisions, and find that firms with precise beta estimates invest closer to their expected levels. We employ quantile regressions to further examine the relationship between <em>Beta Precision</em> and investment levels and find that firms with more precise betas tend to avoid extremes in investment levels. Finally, we show that precision in the estimation of cost of equity is associated with higher risk-adjusted stock returns.</div></div>\",\"PeriodicalId\":15525,\"journal\":{\"name\":\"Journal of Corporate Finance\",\"volume\":\"91 \",\"pages\":\"Article 102728\"},\"PeriodicalIF\":7.2000,\"publicationDate\":\"2024-12-15\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Corporate Finance\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S0929119924001901\",\"RegionNum\":1,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Corporate Finance","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0929119924001901","RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}

引用次数: 0

摘要

调查证据表明，大多数公司使用CAPM来估计其股本成本。先前的研究已经证明，这些估计可能极其不精确。我们研究了贝塔估计的精度对企业投资决策的影响，并发现具有精确贝塔估计的企业投资更接近其预期水平。我们采用分位数回归进一步检验贝塔精度与投资水平之间的关系，发现贝塔精度越精确的公司倾向于避免投资水平的极端。最后，我们表明股权成本估计的精确度与更高的风险调整后股票收益相关。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

Beta estimation precision and corporate investment efficiency

Survey evidence suggests most firms use the CAPM to estimate their cost of equity. Previous research has documented these estimates can be extremely imprecise. We study the impact of the precision of beta estimates on firm investment decisions, and find that firms with precise beta estimates invest closer to their expected levels. We employ quantile regressions to further examine the relationship between Beta Precision and investment levels and find that firms with more precise betas tend to avoid extremes in investment levels. Finally, we show that precision in the estimation of cost of equity is associated with higher risk-adjusted stock returns.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

Journal of Corporate Finance BUSINESS, FINANCE-

CiteScore

11.80

自引率

3.30%

发文量

期刊介绍： The Journal of Corporate Finance aims to publish high quality, original manuscripts that analyze issues related to corporate finance. Contributions can be of a theoretical, empirical, or clinical nature. Topical areas of interest include, but are not limited to: financial structure, payout policies, corporate restructuring, financial contracts, corporate governance arrangements, the economics of organizations, the influence of legal structures, and international financial management. Papers that apply asset pricing and microstructure analysis to corporate finance issues are also welcome.