Gebhardt, Lee, and Swaminathan (2001)
Posted: 17 July 2012 05:00 PM   [ Ignore ]
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I am currently attempting to compute the implied cost of capital and am having some trouble doing so.  My first, and most basic issue, is determing the appropriate data tables in I/B/E/S to use in order to collect EPS and BPS.  Specifically, I have used the unadjusted tables in the past and was planning to do so again.  I also am having trouble identifying which table contains the BPS measure in I/B/E/S.  Once my data issues are resolved, I will attempt to estimate using the a macro in-line with the one at this link (http://www.unc.edu/~ballr/Macros/GLS_Cost_of_Capital_solver.sas), but was hoping to get some feedback on this as well since I am posting about my data issue at this time.  Thanks for your help.

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Posted: 17 July 2012 06:38 PM   [ Ignore ]   [ # 1 ]
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hi Wciconte,

With ‘bps’ you mean ‘book value per share’? The future book value per share can be reconstructed using the current (known) book value per share (either Compustat Fundq or Funda), adding forecasted EPS and subtracting expected dividend per share.

While BPS could be forecasted by some analysts (I would think non-EPS forecast would be in STATSUMU_XEPSUS), it is unlikely to be well populated. You may find LTG (long term growth in earnings) here (you probably need LTG).

Hope this helps,

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To reply/post new questions: Please use the group WRDS/SAS on Google Groups! http://groups.google.com/d/forum/wrdssas

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Posted: 19 July 2012 05:01 PM   [ Ignore ]   [ # 2 ]
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Thanks for your quick response.  You were correct about the location of the variable I was looking for in I/B/E/S.  It appears to have decent coverage.  According to GLS (2001) this variable is supposed to be current book value per share at the time of forecast, unless I am incorrectly reading their study.  The I/B/E/S manual on WRDS does not seem to speak to this.  I think this is what I will need to compute implied cost of capital and I can supplement, where possible, with COMPUSTAT data.  Thanks again.

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Posted: 22 July 2012 03:46 AM   [ Ignore ]   [ # 3 ]
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wciconte,  does the macro have any bug? If you have an updated version, do you mind posting here? Thanks.

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