English, Article edition: Industry Cost of Equity Capital: UK Evidence Alan Gregory; Maria Michou

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/108638
Physical Description
  • article
Language
  • English

Edition details

Title
  • Industry Cost of Equity Capital: UK Evidence
Author
  • Alan Gregory
  • Maria Michou
Physical Description
  • article
Notes
  • This paper explores the industry cost of equity capital for the UK. We replicate the Fama and French (1997) US analysis for UK industries, but additionally investigate the industry cost of equity capital obtained from a conditional CAPM, the Cahart (1997) four factor model, and the Al-Horani, Pope and Stark (2003) R&​D model. In line with the Fama-French US results, the out of sample performance of all the models is disappointing Whilst the FF3F model has a somewhat higher explanatory power than the CAPM in terms of explaining past returns, the SMB and HML factor slopes show considerable variability through time. However, all our models of the cost of equity capital in the UK outperform a simple 'beta one' model, a result that has implications for the regulatory process. There is also some evidence to suggest that a conditional CAPM may be of interest to regulators. The new R&​D model of Al-Horani et al. clearly has potential, in that over the limited period for which data is available it yields return errors not dissimilar to those found under the FF3F model, but exhibits slope coefficients on the fourth R&​D factor that seem to be relatively stable. Copyright (c) 2009 The Authors Journal compilation (c) 2009 Blackwell Publishing Ltd.
  • RePEc:bla:jbfnac:v:36:y:2009-06:i:5-6:p:679-704
Language
  • English
Contributed by
OAIster

Get this edition

Other links

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment