Best Practice for Cost-of-Capital Estimates
研究提出用Vasicek收缩法估算贝塔值，先用1-4年日度股票收益收缩一次，再对贝塔本身进行二次收缩（小公司、长期项目更甚），该方法优于历史行业均值，后者几乎无预测力。
Cost-of-capital assessments with factor models require quantitative forward-looking estimates. We recommend estimating Vasicek-shrunk betas with 1–4 years of daily stock returns and then shrinking betas a second time (and more for smaller stocks and longer-term projects), because the underlying betas are themselves time-varying. Such estimators also work well in other developed countries and for small-minus-big (SMB) and high-minus-low (HML) exposures. If own historical stock returns are not available, peer betas based on market cap should be used. Historical industry averages have almost no predictive power and should never be used.