We extract cost of capital measures for banks using analyst earnings forecasts, which we show are unbiased. We find that the cost of equity and the cost of debt decrease in the Tier 1 ratio, whereas total cost of capital is uncorrelated with the Tier 1 ratio. These findings suggest that investors adjust their return expectations for banks in accordance with the Modigliani–Miller conservation-of-risk principle. Hence, increased capital requirements are not made socially costly based on a notion that market pricing violates risk conservation. Equity can nevertheless still be privately costly for banks because of reduced subsidies.

中文翻译：

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银行的资本成本：来自分析师盈利预测的证据

我们使用分析师的盈利预测提取银行的资本成本指标，我们证明这些预测是公正的。我们发现股权成本和债务成本在一级比率中下降，而总资本成本与一级比率不相关。这些发现表明，投资者根据莫迪利亚尼-米勒风险守恒原则调整他们对银行的回报预期。因此，基于市场定价违反风险守恒的概念，增加的资本要求并不会造成社会成本。尽管如此，由于补贴减少，股权对于银行来说仍然可能是私人成本高昂的。