This study examines the role of market efficiency on international differences in the usefulness of the implied cost of capital (ICC) to measure expected stock returns. The analysis exploits cross-country differences in market efficiency around the world using a variety of empirical measures of market efficiency. A key methodological contribution of this paper is to assess the quality of the ICC as estimate of expected returns by evaluating its forecast error for subsequent stock returns. The results show that the accuracy of the ICC as measure of expected stock returns is positively associated with the countries’ level of market efficiency.

中文翻译：

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市场效率对资本估算隐含成本的作用：国际视角

这项研究考察了市场效率对国际差异在隐性资本成本（ICC）用来衡量预期股票收益的实用性方面的作用。该分析利用各种市场效率的实证方法来探索全球市场效率的跨国差异。本文的主要方法论贡献是，通过评估随后的股票收益的预测误差，来评估ICC作为预期收益的估计的质量。结果表明，ICC作为预期库存收益的度量的准确性与这些国家的市场效率水平呈正相关。