| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP3080 |
| DP3080 Informational Externalities, Herding and Incentives | |
| Xavier Vives; Lluís Bru | |
| 发表日期 | 2001-11-23 |
| 出版年 | 2001 |
| 语种 | 英语 |
| 摘要 | This Paper analyses to what extent international and domestic asset pricing models lead to a different estimates of the cost of capital for an individual firm. We distinguish between (i) the multifactor ICAPM of Solnik (1983) and Sercu (1980) including both the global market portfolio and exchange rate risk premiums, and (ii) the single factor domestic CAPM. We test for the significance of the cost of capital differential in a sample of 3,293 stocks from nine countries in the period 1980-99. We find that the domestic CAPM yields a different estimate of the cost of capital from the multifactor ICAPM for only three percent of the firms in our sample. The difference amounts to on average 50 basis points for the US, 75 basis points for Germany and Japan and similar differentials for the other countries. We attribute these findings to strong country factors in individual stock returns. |
| 主题 | Financial Economics ; International Macroeconomics |
| 关键词 | Cost of capital Icapm Pricing error Exchange rate exposure |
| URL | https://cepr.org/publications/dp3080 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/532112 |
| 推荐引用方式 GB/T 7714 | Xavier Vives,Lluís Bru. DP3080 Informational Externalities, Herding and Incentives. 2001. |
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