Since firms time equity net issuance based on perceived misvaluation of their shares, these actions reveal their net present value calculations and perceived cost of equity. Building on this insight, we propose a test to identify the asset pricing model that best aligns with firms’ perceived cost of equity. We find that the CAPM explains net issuance decisions better than alternative factor models or market multiples. Our findings suggest that firms may overlook variation in cost of equity associated with characteristics such as size and value.