Koszt kapitału, płynność i ryzyko – analiza sektorowa na rynku amerykańskim
Cost of capital, liquidity and risk – sectoral analysis on the American capital market

Summary/Abstract: The cost of capital is a function of risk. In practice various methods of estimating the cost of equity can be applied. In the paper we make an attempt to evaluate a convergence of cost of capital estimation results. We apply the most important methods of estimating the cost of equity – all estimations derived from the American capital market comprising of 62 sectors representing 4193 public companies. Additionally, we examine relationships between the cost of capital vs. financial liquidity and risk. The most important outcome of the research is the lack of relationship between the cost of capital estimated using CAPM, CAPM-SP, 3-Factor FF models on one hand, and the 1-Phase DCF model on the other. This research shows that there is a significant positive relationship between current liquidity ratio and WACC which is estimated using the CAPM-SP model. We confirm the existence of a relationship between sectoral risk (measured by the deleveraged Beta coefficient) and liquidity.

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