Diagnostics to Evaluate Cost of Capital Measures. Discussion of Christodoulou et al.
提出通过检验异常盈余的可预测性来评估Christodoulou等人开发的权益资本成本度量，发现估计值可能偏低，并推测原因在于遗漏了无形资产等经济资产。
Christodoulou et al . ( ) develop measures of the cost of equity capital that require only accounting inputs, using as an identification strategy the linear information dynamics of Feltham and Ohlson ( ). I propose to test these measures by evaluating the predictability of innovations to abnormal earnings using various predetermined variables. The over‐identifying restrictions of this model require these innovations not to be predictable. Using a generalized model, I observe that the estimated measures are probably too low. I conjecture that this anomaly, which occurs jointly with a positive drift in abnormal earnings, is caused by the omission of economic assets such as intangibles.