The Cost of Capital for Banks: Evidence from Analyst Earnings Forecasts
利用分析师盈利预测提取银行资本成本指标，发现股权和债务成本随一级资本比率下降，但总资本成本与之无关，支持莫迪利亚尼-米勒风险守恒原理。
ABSTRACT We extract cost of capital measures for banks using analyst earnings forecasts, which we show are unbiased. We find that the cost of equity and the cost of debt decrease in the Tier 1 ratio, whereas total cost of capital is uncorrelated with the Tier 1 ratio. These findings suggest that investors adjust their return expectations for banks in accordance with the Modigliani–Miller conservation‐of‐risk principle. Hence, increased capital requirements are not made socially costly based on a notion that market pricing violates risk conservation. Equity can nevertheless still be privately costly for banks because of reduced subsidies.