Estimating the Intertemporal Risk–Return Tradeoff Using the Implied Cost of Capital
论证了基于盈利预测计算的隐含资本成本能有效捕捉股票预期收益的时间变化，并通过模拟和G7国家数据发现股票收益的条件均值与方差之间存在正相关关系。
ABSTRACT We argue that the implied cost of capital (ICC), computed using earnings forecasts, is useful in capturing time variation in expected stock returns. First, we show theoretically that ICC is perfectly correlated with the conditional expected stock return under plausible conditions. Second, our simulations show that ICC is helpful in detecting an intertemporal risk–return relation, even when earnings forecasts are poor. Finally, in empirical analysis, we construct the time series of ICC for the G–7 countries. We find a positive relation between the conditional mean and variance of stock returns, at both the country level and the world market level.