Testing International Asset Pricing Models Using Implied Costs of Capital
用隐含资本成本估算公司层面的预期回报，检验国际资产定价模型，发现预期回报与世界市场贝塔、特质波动、财务杠杆和账面市值比正相关，与货币贝塔和公司规模负相关。
Abstract This paper tests international asset pricing models using firm-level expected returns estimated from an implied cost of capital approach. We show that the implied approach provides clear evidence of economic relations that would otherwise be obscured by the noise in realized returns. Among G-7 countries, expected returns based on implied costs of capital have less than one-tenth the volatility of those based on realized returns. Our tests show that firm-level expected returns increase with world market beta, idiosyncratic volatility, financial leverage, and book-to-market ratios, and decrease with currency beta and firm size.