Bibliography / Suggested Readings

The literature about risk and return, beta, CAPM and other cost of equity models, and related topics, is voluminous. The cited sources and suggested readings below are only a sampling.  They were selected primarily because they are either i) original, foundation papers and publications with regard to their respective topics (and, therefore, often technical), ii) reasonably approachable and non-technical (given the nature of the subject matter), or iii) sources widely referenced by valuation analysts.  Readers may also want to consult an introductory textbook on corporate finance such as, for example, Principles of Corporate Finance, by Brealey, Myers and Allen (12th ed., New York, Mcgraw-Hill/Irwin, 2016).

Blume, Marshall E.  “On the Assessment of Risk,” The Journal of Finance, Vol. 26, No. 1, Mar., 1971.

Butler, Peter and Schurman, Gary.  "A Tale of Two Betas," The Value Examiner, January/February 2011. 

Note:  Mr. Butler has written extensively on the subject of total beta, and many of his articles on the subject are available online.

Damodaran, Aswath.  Investment Valuation: Tools and Techniques for Determining the Value of Any Asset, 3rd ed., New York: John Wiley & Sons, 2012.

Damodaran, Aswath.  The Little Book of Valuation: How to Value a Company, Pick a Stock and Profit, New York: John Wiley & Sons, 2011.

Note: This book is written with a more general audience in mind, and may be of interest to individual investors.

Grabowksi, Roger J., et al. / Duff & Phelps.  2017 Valuation Handbook:  U. S. Guide to Cost of Capital, Hoboken, NJ: John Wiley & Sons, 2017.

Note: This annual publication provided much of the information previously available in Morningstar's Ibbotson® SBBI® Valuation Yearbook (discontinued after 2013), and also replaced the Duff & Phelps Risk Premium Report (which was incorporated into this publication).  These sources included considerable information regarding size premiums.  In 2013 and earlier years the Ibbotson® SBBI® Classic and Valuation Edition Yearbooks, published by Morningstar, and the Stocks, Bonds, Bills and Inflation predecessor publications published by Ibbotson Associates, may also be of interest, along with the Duff & Phelps Risk Premium Reports. 

As of 2018, Duff & Phelps no longer publishes the size premium and other data formerly included in the Valuation Handbook in print form.  They have instead launched an online resource called the Duff & Phelps Cost of Capital Navigator, which is available at

The "Classic" SBBI Yearbook is still published annually - see below.

Hamada, Robert S.  “The Effect of the Firm's Capital Structure on the Systematic Risk of Common Stocks,” The Journal of Finance, Vol. 27, No. 2, May, 1971.

Harris, R. S. and Pringle, J. J.  "Risk-Adjusted Discount Rates—Extensions from the Average Risk Case," Journal of Financial Research, Vol. 8, No. 3, Fall 1985.

Hitchner, James R., editor.  Financial Valuation: Applications and Models, 4th ed. Hoboken, NJ: John Wiley & Sons, 2017.

Ibbotson, Roger G., et al. / Duff & Phelps.  2018 Stocks, Bonds, Bills and Inflation SBBI Yearbook, Duff & Phelps, 2018.

Ibbotson, Roger G.  "Estimates of Small Stock Betas are Much Too Low, The Journal of Portfolio Management, Vol. 23, No. 4, Summer 1997.

Lintner, John.  “The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets,” Review of Economics and Statistics, Vol. 47, No. 1, Feb., 1965.

Markowitz, Harry.  “Portfolio Selection,” The Journal of Finance, Vol. 7, No. 1, Mar., 1952.

Markowitz, Harry.  Portfolio Selection: Efficient Diversification of Investments, Cowles Foundation, Yale University, Monograph No. 16, New York: John Wiley & Sons, Inc., 1959.

McKinsey & Company Inc., et. al.  Valuation: Measuring and Managing the Value of Companies, 6th ed. Hoboken, NJ: John Wiley & Sons, 2015

Perold, André F.  “The Capital Asset Pricing Model,” Journal of Economic Perspectives, Vol. 18, No. 3, Summer, 2004.

Pratt, Shannon and Grabowski, Roger.  Cost of Capital: Applications and Examples, 5th ed., Hoboken, NJ: John Wiley & Sons, 2014.

Sharpe, William F.  “Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk,” The Journal of Finance, Vol. 19, No. 3, Sep., 1964.