Kapitalkostnaden på Stockholmsbörsen: En studie av marknadens implicita riskpremie i hög- och lågkonjunktur, samt hur den implicita kapitalkostnaden korrelerar med kapitalkostnaden enligt CAPM

Sammanfattning: This thesis explores some issues regarding estimations of the cost of capital on the Stockholm Stock Exchange through reverse engineering of the Residual Income Valuation model and through usage of the Capital Asset Pricing Model. Previous studies are in conflict of whether the risk premium changes considerably over time or not. Furthermore, the risk premium estimated by CAPM tends to be fairly stable. In this study, reverse engineering of the cost of capital implied by analysts’ forecasts shows a significant difference in the risk premium over time. Our study thereby indicates that the required risk premium is higher in a recession than in a booming period. We conclude that this is most likely due to changes in actual risk, volatility in the risk preferences of investors, or volatility in the expected mean reversion of abnormal profits. On a company level we have also shown that this implied cost of capital shows a very low correlation with the cost of capital according to CAPM. The low correlation implies that CAPM is not used for pricing the market.