Have a personal or library account? Click to login
The Cost of Capital for Investment in the Warsaw Stock Exchange Indexes – Versus Djia Cover

The Cost of Capital for Investment in the Warsaw Stock Exchange Indexes – Versus Djia

Open Access
|Jun 2021

References

  1. Barnes, M.L., Lopez, J.A. (2006). Alternative measures of the Federal Reserve Banks cost of equity capital. Journal of Banking and Finance, 30, 1687–1711.10.1016/j.jbankfin.2005.09.005
  2. Berk, J., Green, R., Naik, V. (1999). Optimal investment, growth options, and security returns. Journal of Finance, 54, 1553–1607.10.1111/0022-1082.00161
  3. Bernardo, A., Chowdry, B., Goyal, A. (2007). Growth options, beta, and the cost of capital. Financial Management, 36, 5–17.10.1111/j.1755-053X.2007.tb00084.x
  4. Bhandari, L.CH. (1988). Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence. Journal of Finance, 43 (2), 507–528.10.1111/j.1540-6261.1988.tb03952.x
  5. Efron, B., Tibshirani, RJ. (1993). An Introduction to the Bootstrap. Chapman and Hall CRC, New York.10.1007/978-1-4899-4541-9
  6. Fama, E.F. (1996). Multifactor Portfolio Efficiency and Multifactor As-set Pricing. Journal of Financial and Quantitative Analysis, 31 (4), 441–465.10.2307/2331355
  7. Fama, E.F., French, K.R. (1992). The Cross-Section of Expected Stock Returns. Journal of Finance, 47 (2), 427–465.10.1111/j.1540-6261.1992.tb04398.x
  8. Fama, E.F., French, K.R. (1993). Common Risk Factors in the Returns on Stock and Bonds. Journal of Financial Economics, 33 (1), 3–56.10.1016/0304-405X(93)90023-5
  9. Fama, E.F., French, K.R. (1995). Size and Book-to-Market Factors in Earnings and Returns. Journal of Finance, 50 (1), 131–155.10.1111/j.1540-6261.1995.tb05169.x
  10. Ferson, W., Locke, D.H. (1998), Estimating the cost of capital through time: An Analysis of the Sources of Error. Management Science, 44 (4), 485–500.10.1287/mnsc.44.4.485
  11. Hamada, R.S. (1972). The Effect of the Firm’s Capital Structure on the Systematic Risk of Common Stocks. Journal of Finance, 27 (2), 435–452.10.1111/j.1540-6261.1972.tb00971.x
  12. Jagannathan, R., Wang, Z. (1996). The Conditional CAPM and the Cross-Section of Expected Returns. Journal of Finance, 51 (1), 3–53.10.1111/j.1540-6261.1996.tb05201.x
  13. Jegadeesh, N., Titman, S. (1993). Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency. Journal of Finance, 48 (1), 65–91.10.1111/j.1540-6261.1993.tb04702.x
  14. King, R.M. (2009). The cost of equity for global banks: a CAPM perspective from 1990 to 2009. BIS Quarterly Review, 8, 59–73.
  15. Kozarević, E., Džafić, J. (2014). Capital Asset Pricing Model and the Cost of Equity Share Capital on the Sarajevo Stock Exchange. Journal of Empirical Economics, 2 (2), 88–96.
  16. Lakonishok, J., Shleifer, A., Vishny R. (1994). W. Contrarian investment, extrapolation, and risk, Journal of Finance, 49, 1541–1578.10.1111/j.1540-6261.1994.tb04772.x
  17. Merton, R.C. (1973). An Intertemporal Capital Asset Pricing Model. Econometrica, 41 (5), 867–888.10.2307/1913811
  18. Pratt, S.P. (2002). Cost of Capital. Estimation and Applications. New Jersey: John Wiley & Sons, Inc. Hoboken.
  19. Rosenberg, B., Reid, K., Lanstein, R. (1985). Persuasive Evidence of Market Inefficiency. Journal of Portfolio Management, 11 (3), 9–16.10.3905/jpm.1985.409007
  20. Shanken, J. (1992). On the Estimation of Beta-Pricing Models. The Review of Financial, 5 (1), 1–33.10.1093/rfs/5.1.1
  21. Urbanski, S. (2012). Multifactor Explanations of Returns on the Warsaw Stock Exchange in Light of the ICAPM. Economic Systems, 36, 552–570.10.1016/j.ecosys.2012.03.002
  22. Urbański, S. (2019). The cost of equity capital in stock portfolios listed on the Warsaw Stock Exchange using the classic CAPM. Financial Internet Quarterly e-Finanse, 15 (2), 48–62.10.2478/fiqf-2019-0011
  23. Urbański, S., Leśkow, J. (2020). Using the ICAPM to estimate the cost of capital of stock portfolios: empirical evidence on the Warsaw Stock Exchange. Statistic in Transition new series, 21 (1), 1–10.10.21307/stattrans-2020-005
  24. Urbański, S., Zarzecki, D., Leśkow, J. (2020). Using the ICAPM to Estimate the Cost of Capital: Developed Market and Polish Market Stock Portfolios. 35th IBIMA Conference, Seville, pp. 12858–12870.
  25. Urbański, S., Zarzecki, D. (2021). The Fama-French model for Estimating the Cost of Equity Capital: Impact of Real Options of Investment Projects. Economic Systems, accepted for publication.10.1016/j.ecosys.2021.100874
  26. Zhi, D., Guo, R.J., Jagannathan, R. (2012). CAPM for estimating the cost of equity capital: Interpreting the empirical evidence. Journal of Financial Economics, 103 (1), 204–220.10.1016/j.jfineco.2011.08.011
DOI: https://doi.org/10.2478/foli-2021-0009 | Journal eISSN: 1898-0198 | Journal ISSN: 1730-4237
Language: English
Page range: 122 - 143
Submitted on: Oct 28, 2020
Accepted on: Apr 12, 2021
Published on: Jun 24, 2021
Published by: University of Szczecin
In partnership with: Paradigm Publishing Services
Publication frequency: 2 issues per year

© 2021 Stanisław Urbański, published by University of Szczecin
This work is licensed under the Creative Commons Attribution-ShareAlike 4.0 License.