The empirical CAPM: Estimation and Implications for the Regulatory Cost of Capital

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The empirical CAPM: Estimation and Implications for the Regulatory Cost of Capital

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In calculating the cost of capital for regulated businesses, the New Zealand Commerce Commission uses the Capital Asset Pricing Model to estimate the cost of the equity component of capital, a procedure that involves assuming particular values for unobservable key parameters. This thesis proposes, instead, to estimate these parameters from market data. The principal result is that estimates of these parameters differ significantly from the values assumed by the Commerce Commission. Applying t...

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Date created

07 Nov, 2021

Creator

Zhang, Wei

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https://figshare.com/articles/thesis/The_empirical_CAPM_Estimation_and_Implications_for_the_Regul...

Related subjects

Econometrics / Finance theory / Estimates of capital costs / Estimates of industrial costs / School: School of Economics and Finance / 149999 Economics not elsewhere classified / Marsden: 340203 Finance Economics / Marsden: 340499 Econometrics / Degree Discipline: Money and Finance / Degree Level: Masters / Degree Name: Master of Commerce and Administration / Economics not elsewhere classified

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