The role of market efficiency on implied cost of capital estimates: an international perspective
Schröder, David (2020) The role of market efficiency on implied cost of capital estimates: an international perspective. Annals of Finance 16 , pp. 463-499. ISSN 1614-2446.
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Abstract
This study examines the role of market efficiency on international differences in the usefulness of the implied cost of capital (ICC) to measure expected stock returns. The analysis exploits cross-country differences in market efficiency around the world using a variety of empirical measures of market efficiency. A key methodological contribution of this paper is to assess the quality of the ICC as estimate of expected returns by evaluating its forecast error for subsequent stock returns. The results show that the accuracy of the ICC as measure of expected stock returns is positively associated with the countries' level of market efficiency.
Metadata
| Item Type: | Article |
|---|---|
| School: | Birkbeck Faculties and Schools > Faculty of Business and Law > Birkbeck Business School |
| Depositing User: | David Schroeder |
| Date Deposited: | 08 Oct 2020 11:06 |
| Last Modified: | 02 Aug 2023 18:04 |
| URI: | https://eprints.bbk.ac.uk/id/eprint/40959 |
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