Implied Risk Premium For Factors
This figure plots slope coefficients from a series of regressions of the perceived cost of capital on firm characteristics. Each regressions includes the CAPM beta, size, and leverage of the firm as well as the single characteristic in question. All characteristics are signed such that a higher value predicts a higher CAPM alpha.
For details, see:
Gormsen & Huber, “Equity Factors and Firms’ Perceived Cost of Capital”