CAPM for Estimating the Cost of Equity Capital: Interpreting the Empirical Evidence

We thank for helpful comments Bob Chirinko, Bob Dittmar, Bruce Grundy, Dermot Murphy, Ernst Schaumburg, Bill Schwert (the Editor), William Sharpe, Mike Sher, Mitchell Warachka, Hong Yan, Wei Yang, Jianfeng Yu, an anonymous referee, and seminar participants at Singapore Management University, National University of Singapore, Nanyang Technological University, University of Illinois - Chicago, University of British Columbia, 2008 Australian Competition and Consumer Commission Regulatory Conference, 2009 FIRS Conference, University of Minnesota macro-finance conference, 2009 WFA, and the 20th conference on Financial Economics and Accounting. The views expressed herein are those of the author(s) and do not necessarily reflect the views of the National Bureau of Economic Research.

• April 14, 2009