On the relation between expected returns and implied cost of capital
在预期收益随机的前提下，证明隐含资本成本与预期收益存在系统性差异，差异取决于预期收益与现金流、增长、杠杆的波动和相关性，为相关实证研究提供了新解释。
We examine the relation between implied cost of capital and expected returns under an assumption that expected returns are stochastic, a property supported by theory and empirical evidence. We demonstrate that implied cost of capital differs from expected return, on average, by a function encompassing volatilities of, as well as correlation between, expected returns and cash flows, growth in cash flows, and leverage. These results provide alternative explanations for findings from empirical studies employing implied cost of capital on the magnitude of the market risk premium; predictability of future returns; and the relations between cost of capital and a host of firm characteristics, such as growth, leverage, idiosyncratic risk and the firm’s information environment.