Free Public Seminar: Australia’s Future And The Two-speed Economy (17:30 - 19:30)
 

	What is the future of Australia's prosperity? Is a two-speed economy inevitable, and, will it mean under-employment and low investment in non-mining sectors? Queensland University of Technology's School of Economics and Finance invites you to an exclusive address by:
Bob Gregory	Eminent Australian economist and Professor of Economics at the Research School of Social Sciences in the Australian National University, Canberra. For more information click  on Bob_Gregory_seminar_details

Contact Info : Angela Fletcher| NCER Administration Coordinator (Tuesday - Friday) School of Economics and Finance and National Centre for Econometric Research | Faculty of Business | Queensland University of Technology | Phone: +61 7 3138 1050 | Fax: +61 7 3138 1500 | CRICOS No. 00213J Email : This e-mail address is being protected from spam bots, you need JavaScript enabled to view it Url: http://www.bus.qut.edu.au/faculty/schools/economics

School Of Economics & Finance Seminar Series (11:00 - 12:30)
 

Dr Kathleen Walsh

 from

 ANU

will be giving a school seminar

this Thursday 9th September

in Room 301 Z-Block

Queensland University of Technology

Gardens Point Campus

 at 11:00am.

 

 

Cost of Capital Estimation: Something Better than the Standard CAPM?

 

A selection of asset pricing models is evaluated as alternatives to the standard CAPM in cost of equity capital estimation for individual companies - including the Fama-French 3-factor model and the CAPM adjusted for liquidity. The results suggest that cost of equity estimates are improved by incorporating characteristic-based liquidity premiums into the CAPM, particularly for illiquid stocks. Measurement error is found to hamper the performance of multi-factor models where factor betas are estimated using regressions of stock returns on factor returns. Indeed, the standard CAPM performs admirably largely because its single-factor structure based around market betas produces well-grounded cost of equity estimates. Liquidity premiums appear to improve the CAPM not just because liquidity is priced by the market, but also because the adjustment helps mop up any beta measurement error.

Contact Info : David Johnston Email : This e-mail address is being protected from spam bots, you need JavaScript enabled to view it