Costs of Equity Capital and Model Mispricing
用贝叶斯方法估计公司股权资本成本，发现对错误定价的较大先验不确定性常使估计结果接近无错误定价情形，而模型选择的不确定性平均不如模型内参数不确定性重要。
Costs of equity for individual firms are estimated in a Bayesian framework using several factor‐based pricing models. Substantial prior uncertainty about mispricing often produces an estimated cost of equity close to that obtained with mispricing precluded, even for a stock whose average return departs significantly from the pricing model's prediction. Uncertainty about which pricing model to use is less important, on average, than within‐model parameter uncertainty. In the absence of mispricing uncertainty, uncertainty about factor premiums is generally the largest source of overall uncertainty about a firm's cost of equity, although uncertainty about betas is nearly as important.