In the study, an attempt is made to forecast costs of equity capital in 2002 in 12 banks listed on the Warsaw Stock Exchange. The research described in the study was based on the CAPM (Capital Assets Pricing Model) with particular emphasis on the difficulties encountered in the application of the above-indicated model in the Polish economic environment. Some adjustments were needed to the planned method of estimating the model's parameters (in particular for the market risk premium). The analysis was based on the information on daily prices of the banks' shares included in the WIG index and on selected treasury securities, which form a secure alternative for equity investment. Line-regression equations were used to determine the relationship between the profitability of banks' shares and the rate of return on the stock exchange index.

Reliability of the forecast is supported by the similarity between the research findings and information provided in publications devoted to the cost of equity capital.