Abstract

https://ssrn.com/abstract=485762
 
 

References (44)



 
 

Citations (31)



 


 



International Asset Pricing: Evidence from the Cross Section of Implied Cost of Capital


Charles M.C. Lee


Stanford University - Graduate School of Business

David T. Ng


Cornell University

Bhaskaran Swaminathan


LSV Asset Management

November 1, 2003

14th Annual Conference on Financial Economics and Accounting (FEA)

Abstract:     
This study presents a new methodology for estimating international cost of capital. Using a discounted cash flow model, we estimate market implied risk premia for firms in the G-7 countries during the 1990 to 2000 time period. We find that the average risk premia in G-7 countries typically fall within a narrow range of 2% to 4%, and that risk premia are consistently higher for some countries and industries. Variables most useful in explaining cross-sectional variation in implied risk premia are return volatility, size, B/M ratio, analyst growth forecast, and lagged industry-country risk premia. Together, these variables explain 20% to 30% of the cross-sectional variation in international risk premia. Interestingly, beta measures from various international asset pricing models have little explanatory power, while betas corresponding to empirical size and book-to-market factors do much better.

Number of Pages in PDF File: 48


Open PDF in Browser Download This Paper

Date posted: January 15, 2004  

Suggested Citation

Lee, Charles M.C. and Ng, David T. and Swaminathan, Bhaskaran, International Asset Pricing: Evidence from the Cross Section of Implied Cost of Capital (November 1, 2003). 14th Annual Conference on Financial Economics and Accounting (FEA). Available at SSRN: https://ssrn.com/abstract=485762 or http://dx.doi.org/10.2139/ssrn.485762

Contact Information

Charles M.C. Lee (Contact Author)
Stanford University - Graduate School of Business ( email )
Stanford Graduate School of Business
655 Knight Way
Stanford, CA 94305-5015
United States
650-721-1295 (Phone)

David T. Ng
Cornell University ( email )
Ithaca, NY 14853
United States
Bhaskaran Swaminathan
LSV Asset Management ( email )
155 North Wacker Drive
Chicago, IL 60606
United States

Feedback to SSRN


Paper statistics
Abstract Views: 2,900
Downloads: 767
Download Rank: 24,026
References:  44
Citations:  31