Beyond CAPM: estimating the cost of equity considering idiosyncratic risks

DOI10.1080/14697688.2015.1124136zbMath1400.91698OpenAlexW2291980740MaRDI QIDQ4554217

Enrico Laghi, Michele di Marcantonio

Publication date: 13 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2015.1124136

zbMATH Keywords

CAPMcost of capitalidiosyncratic riskscost of equityfirm valuationspecific risks

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Actuarial science and mathematical finance (91G99)

Cites Work

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• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Multi-regime nonlinear capital asset pricing models
• Detection of Influential Observation in Linear Regression
• On the estimation of cost of capital and its reliability
• Common risk factors in the returns on stocks and bonds

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