Essays on implied cost of capital estimation and implementation for corporates and banks: In association with customer satisfaction, equity market discipline and an estimation approach

El Chamaa, Marwan

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URL:	https://madoc.bib.uni-mannheim.de/40053
URN:	urn:nbn:de:bsz:180-madoc-400532
Document Type:	Doctoral dissertation
Year of publication:	2015
Place of publication:	Mannheim
University:	Universität Mannheim
Evaluator:	Daske, Holger
Date of oral examination:	15 October 2015
Publication language:	English
Institution:	Business School > ABWL, Unternehmensrechnung u. Empirische Kapitalmarktforschung (Daske 2007-)
Subject:	330 Economics
Subject headings (SWD):	Kapitalkosten
Keywords (English):	Implied Cost of Capital , Customer Satisfaction , Market Discipline
Abstract:	In this dissertation I use accounting based valuation models to primarily estimate the corresponding cost of equity (capital) and use the estimated values in empirical research and in the framework of an estimation approach. The methodological aspect of my dissertation falls under the literature branch of implied cost of capital (ICC) which is well established in finance and accounting. The economic aspect of my dissertation addresses capital market relevant issues, stemming from research in marketing and monetary economics. The second chapter is based on a working paper I wrote with Martin Artz (Frankfurt School of Finance and Management). In it we investigate the association between customer satisfaction and the firm's cost of equity using ICC as a forward-looking, ex-ante measurement approach. We further use ICC to decompose firm value into cash and cost of equity effects of customer satisfaction changes. The third chapter is based on a working paper I wrote with Ferdinand Elfers (University of Mannheim). In it we use the ICC to estimate the rate of return required by the stockholders of U.S. bank holding companies (BHCs). We use the implied risk premium (IRP), calculated as ICC minus the risk-free rate, to investigate directly whether stock prices are adjusted to information about the business risk of a BHC as suggested by the concept of market discipline. In the fourth and last chapter I introduce a new approach aimed at simultaneously estimating all drivers (input variables) of an accounting valuation model.