We explore a large sample of analysts' estimates of the cost of equity capital (CoE) to evaluate their usefulness as expected return proxies (ERP). We find that the CoE estimates are significantly related to a firm's beta, size, book-to-market ratio, leverage, and idiosyncratic volatility but not other risk proxies. Even after controlling for the popular return predictors, the CoE estimates incrementally predict future stock returns. This predictive ability is better explained as the CoE estimates containing ERP information rather than reflecting stock mispricing. When evaluated against traditional ERPs, including the implied costs of capital, the CoE estimates are found to be the least noisy. Finally, we document CoE responses around earnings announcements, demonstrating their usefulness to study discount-rate reactions of market participants. We conclude that analysts' CoE estimates are meaningful ERPs that can be fruitfully employed in a variety of asset pricing contexts.

我们探索了分析师对股本成本（CoE）的估计的大量样本，以评估其作为预期回报代理（ERP）的有用性。我们发现，CoE估计值与公司的beta，规模，账面市值比，杠杆率和特殊波动率有很大关系，而与其他风险代理无关。即使在控制了流行的收益预测指标之后，CoE估计也会逐步预测未来的股票收益。由于CoE估计包含ERP信息，而不是反映库存错误定价，因此可以更好地解释这种预测能力。当根据传统的ERP（包括隐含的资本成本）进行评估时，CoE估计被认为是最不嘈杂的。最后，我们记录有关收益公告的CoE响应，证明了它们对研究市场参与者的折现率反应的有用性。我们得出的结论是，分析师的CoE估计是有意义的ERP，可以在各种资产定价环境中有效地使用。