<abstract xmlns="http://www.w3.org/1999/xhtml">

<bold>Research background and purpose:</bold> The CAPM, Fama-French and modified Fama-French models were used to estimate the cost of the capital of the DJIA and selected Polish stock indexes were used. The estimated cost of capital was the cost of the portfolio of corporate investment projects estimated by market returns.
<bold>Research methodology:</bold> The model tests were run on 276 monthly returns of stocks listed on the markets in the years 1995–2019. The bootstrap method to estimate the confidence interval of the cost of capital was used.
<bold>Results:</bold> The highest and positive cost of capital median was found for the DJIA index, about 0.85% monthly, and for the WIG20 and WIGDIV indexes, about 0.25% monthly. The cost of capital median for the mWIG80, WIGBANK and WIGCHEMIA indexes were found to be negative. This was due to large errors in the estimated cost of capital.
<bold>Novelty:</bold> Minor errors in the estimation of the cost of capital of index DJIA may result from a more rational policy for the implementation of investment projects by companies included in the index.
</abstract>

Research background and purpose: The CAPM, Fama-French and modified Fama-French models were used to estimate the cost of the capital of the DJIA and selected Polish stock indexes were used. The estimated cost of capital was the cost of the portfolio of corporate investment projects estimated by market returns.
Research methodology: The model tests were run on 276 monthly returns of stocks listed on the markets in the years 1995–2019. The bootstrap method to estimate the confidence interval of the cost of capital was used.
Results: The highest and positive cost of capital median was found for the DJIA index, about 0.85% monthly, and for the WIG20 and WIGDIV indexes, about 0.25% monthly. The cost of capital median for the mWIG80, WIGBANK and WIGCHEMIA indexes were found to be negative. This was due to large errors in the estimated cost of capital.
Novelty: Minor errors in the estimation of the cost of capital of index DJIA may result from a more rational policy for the implementation of investment projects by companies included in the index.

The Cost of Capital for Investment in the Warsaw Stock Exchange Indexes – Versus Djia

Folia Oeconomica Stetinensia

This work is licensed under the Creative Commons Attribution-ShareAlike 4.0 International License.

Research background and purpose: The CAPM, Fama-French and modified Fama-French models were used to estimate the cost of the capital of the DJIA and selected...

The Cost of Capital for Investment in the Warsaw Stock Exchange Indexes – Versus Djia

Published Online: Jun 24, 2021

Page range: 122 - 143

Received: Oct 28, 2020

Accepted: Apr 12, 2021

DOI: https://doi.org/10.2478/foli-2021-0009

Keywords
ICAPM, Cost of capital, Risk premium, Bootstrap method

© 2021 Stanisław Urbański, published by Sciendo

This work is licensed under the Creative Commons Attribution-ShareAlike 4.0 International License.

The Cost of Capital for Investment in the Warsaw Stock Exchange Indexes – Versus Djia

Published Online: Jun 24, 2021

Page range: 122 - 143

Received: Oct 28, 2020

Accepted: Apr 12, 2021

DOI: https://doi.org/10.2478/foli-2021-0009

KeywordsICAPM, Cost of capital, Risk premium, Bootstrap method

© 2021 Stanisław Urbański, published by Sciendo

This work is licensed under the Creative Commons Attribution-ShareAlike 4.0 International License.

Keywords
ICAPM, Cost of capital, Risk premium, Bootstrap method