Cost of Capital and Asset Pricing in the UK

我们相信，这项提议将首先创建一个易于访问的数据集，英国研究人员将大量使用该数据集。这也将给英国监管当局带来潜在的好处。虽然目前XFI中心在其网站上免费提供了其中一些数据，并按月提供，但该提案的目的是大幅加强所提供的数据，无论是在其范围方面，还是在维护和定期更新方面。我们已经知道，在今年的英国会计协会会议上发表了一篇介绍该数据集的论文，以及关于SSRN的早期版本的论文之后，其他英国研究人员也对这些现有数据有了一些需求。这篇文章已经被下载了734次。请注意，SSRN的下载不包括任何直接从XFI网站下载的论文或数据，我们知道在2009年11月至2011年8月期间，在XFI网站上有2,047次独立页面浏览量，其中两篇已发表的论文引用了我们的数据。Eventus软件的供应商已经在他们的公司网站上放置了一个链接，指向埃克塞特大学的页面，在那里可以下载数据。目前全世界使用Eventus软件(包括通过WRDS)的机构有186家。此外，这些数据还被用于竞争委员会最近的一起上诉案件(布里斯托尔水务公司)，委员会的意向书附在这项提案之后。第二，也是可以说是最重要的一点，它将直接有助于提高英国资产定价的知识水平，提供一系列因素和测试组合应该有助于促进其他机构对这一主题的研究。第三，提供ICC数据将进一步帮助英国资产定价模型的测试，但对英国公司和监管机构建立预期资本成本和市场风险溢价也应该有价值。该提议允许建立一个数据集，满足英国(实际上是国际)学者、PGR和PGT学生的许多要求，可能会在未来的出版物中被大量引用。这可能有助于监管机构制定公用事业价格和进行盈利测试。

We believe this proposal will first create an easily accessible dataset which will be heavily used by UK researchers. It will also be of potential benefit to UK regulatory authorities. Whilst some of this data is available on a monthly returns basis at present, being currently freely provided by the Xfi Centre on its website, the aim of the proposal is to substantially enhance the data provided, both in terms of its scope and also its maintenance and regular updating. We already know that this extant data is in some demand by other UK researchers, following a paper introducing the dataset at this year's British Accounting Association Conference and an earlier version paper on SSRN. This paper has already had 734 downloads. Note that the SSRN downloads do not include any downloads of the paper or the data directly from the Xfi Website, where we know that there have been 2,047 unique page views between November 2009 and August 2011, with two published papers citing our data. The providers of Eventus software have put up a link on their company website to the University of Exeter pages where the data is available for download. The current list of institutions worldwide using the Eventus software (including through WRDS) stands at 186. In addition, the data has been used in a recent Competition Commission appeal case (Bristol Water) and a letter of interest from the CC is attached to this proposal. Second, and arguably of the greatest importance, it will directly help advance the state of knowledge of asset pricing in the UK, and the provision of a battery of factors and test portfolios should help facilitate research on this topic in other institutions.Third, the provision of ICC data will further aid the testing of asset pricing models in the UK, but should also be of value to UK companies and regulators in establishing expected cost of capital and the market risk premium.The proposal allows the establishment of a dataset which will fulfill many of the requirements of UK (and indeed, international) academics, PGR and PGT students, is likely to be heavily cited in future publications, and potentially helps regulatory authorities both in setting utility prices and conducting profitability tests.