Il costo del capitale proprio: un modello di stima del premio per i rischi specifici

Translated title of the contribution: [Autom. eng. transl.] The cost of equity: a model for estimating the premium for specific risks

Michele Di Marcantonio, Enrico Laghi

Research output: Contribution to journalArticlepeer-review

Abstract

The present study proposes a new, unified evaluation approach aimed at enclosing in a single model a number of economic theories for estimating the cost of equity considering also unsystematic risks. Our objective is extending the CAPM by defining a standard formula for quantifying the premium for certain idiosyncratic risks as a function of a set of firm-specific quantitative information. We define two innovative econometric models, for listed and non-listed firms respectively, which consider five idiosyncratic risk factors: firm size, market expectations, operating risks, financial structure and stock market price volatility. The models were tested on a sample of European non-financial listed companies. The empirical results show that while the CAPM systematically underestimates the cost of equity, the proposed models correctly estimate its expected value; furthermore, they show a slight improvement also in terms of estimates’ volatility. Due to their efficacy and ease of use, the proposed models represent a valid practical tool for investors, analysts and professional evaluators. This work contributes to the existing literature by proposing and testing original models for estimating the unsystematic risks’ spread to be included in the cost of equity on the basis of a set of firm-specific accounting and market information.
Translated title of the contribution[Autom. eng. transl.] The cost of equity: a model for estimating the premium for specific risks
Original languageItalian
Pages (from-to)21-36
Number of pages16
JournalLA VALUTAZIONE DELLE AZIENDE
Volume74
Publication statusPublished - 2014
Externally publishedYes

Keywords

  • CAPM
  • Cost of Capital
  • Cost of Equity
  • Costo del capitale
  • Costo del capitale proprio
  • Firm Valuation
  • Idiosyncratic Risks
  • Rischi idiosincratici
  • Rischi specifici
  • Specific Risks
  • Valutazione d'azienda

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