BIROn - Birkbeck Institutional Research Online

    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 , ISSN 1614-2446. (In Press)

    [img] Text
    ICC international - final version.pdf - Author's Accepted Manuscript
    Restricted to Repository staff only

    Download (189kB) | Request a copy

    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: School of Business, Economics & Informatics > Economics, Mathematics and Statistics
    Depositing User: David Schroeder
    Date Deposited: 08 Oct 2020 11:06
    Last Modified: 15 Jun 2021 23:13
    URI: https://eprints.bbk.ac.uk/id/eprint/40959

    Statistics

    Downloads
    Activity Overview
    1Download
    46Hits

    Additional statistics are available via IRStats2.

    Archive Staff Only (login required)

    Edit/View Item Edit/View Item