A Comparison of Cost of Equity Estimates of Local and Global CAPMs
比较了三种定价模型（传统本地CAPM、单因子全球CAPM和双因子全球CAPM）对美国股票、发达市场和新兴市场ADR的股权成本估计差异，发现平均差异在47到76个基点之间。
Abstract Cost of equity estimates are compared for three pricing models: the traditional local CAPM, the single (market) factor global CAPM, and the two‐factor global CAPM, with both market and currency index factors. For 2989 US stocks, the average difference in the cost of equity estimates is about 48 basis points between the local CAPM and the single‐factor global CAPM, and is about 61 basis points between the two global models. For 70 developed‐market ADRs, the corresponding average differences are 76 and 47 basis points, respectively. For 48 emerging‐market ADRs, the corresponding average differences are 57 and 70 basis points.