资本成本
经济
加权平均资本成本
金融经济学
隐性成本
衡平法
资本市场
波动性(金融)
权益成本
股票资本市场
金融资本
总成本
财务
微观经济学
资本形成
估价(财务)
利润(经济学)
法学
政治学
作者
Stanisław Urbański,Dariusz Zarzecki
标识
DOI:10.1016/j.ecosys.2021.100874
摘要
We use the classic and modified Fama-French models to estimate the cost of capital of stock portfolios listed on selected markets. We compare four highly developed markets (US, EU, Japanese and global) and the Polish market as an alternative investment opportunity and a CEE emerging market. The performance of the applied procedures for estimating the cost of capital for company projects is examined and cost of capital is assessed with and without real option adjustment. We adjust the portfolios’ returns using the firms’ book-to-market ratios and idiosyncratic volatility as option proxies. The variability of cost of capital is evaluated using bootstrap methods. Our study shows a clear difference between bootstrapped distributions of cost of capital for the tested developed market and the Polish market portfolios. Wider confidence intervals of the estimated cost of capital of the studied Polish portfolios may result from political motivations in managing state-controlled companies. Our findings also indicate a clear difference between the cost of capital for tested portfolios with and without option adjustment. The widths of the estimated confidence intervals increase after option adjustment. The highest/lowest values of the cost of capital both with and without option adjustment are found for the US/Japanese market portfolios.
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