Earticle

초록

영어

Previous research shows that the implied cost of capital (factor model-based estimates for the cost of equity) have a negative (positive) eect on investment. Our paper documents that these alternative cost-of-equity proxies also have opposite eects on external nancing activities. We show that the ICC has negative eects on investment and external nancing by capturing the rm-specic discount rate news, whereas the factor model-based proxies has positive eects on these decisions by capturing the cash ow news. Furthermore, the negative eects of the ICC are more pronounced for rms with high private information and equity dependence, whereas the positive eects of the factor model-based estimates are more pronounced for rms with low private information and equity dependence. Thus, the opposite eects of the cost-of-equity proxies can be explained by their distinctive information contents.

목차

Abstract
1 Introduction
2 Hypothesis Development
2.1 Components of Q
2.2 Components of Expected Return
2.3 Linking Q and Expected Return
3 Data and Methodology
3.1 The Sample
3.2 Cost-of-Equity Proxies
3.3 Measuring Cash Flow News and Discount Rate News
3.4 Summary Statistics
4 Empirical Results
4.1 Primary Specification
4.2 The Effects of Cash Flow News and Discount Rate News
4.3 Changes in the Cost of Equity Proxies Around Exogenous Events
4.4 Stock Market Information
5 Robustness Checks
5.1 Alternative Cost-of-Equity Proxies
5.2 Alternative Cash Flow and Discount Rate News
5.3 Error-in-Variables GMM Estimation Method
5.4 Controlling for Other Firm Characteristics
6 Summary and Conclusion
References

키워드

저자

• Soku Byoun [ Hankamer School of Business, Baylor University ]
• Kai Wuy [ School of Finance, Central University of Finance and Economics, Beijing, China ]

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간행물

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• 간행물명

  한국재무학회 학술대회

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  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330