The article estimates the cost of equity for banks in six countries from 1990 to 2009 using a financial model called CAPM. The cost of equity decreased from 1990 to 2005 but then increased after 2006. This decrease was due to lower risk-free rates and less sensitivity of bank stock returns to market risk, except in Japan. The estimates varied widely across banks, showing the challenge of predicting expected returns using CAPM.