The purpose of this study is to extend the empirical analysis of Thompson (1979) to generate individual company costs of equity capital from statistical analysis of cross‐sectional industry data. The paper uses a new random coefficients regression approach on 18 cross‐sections of 75 electric utilities for the years 1963–1980. The results show rank stability between years and plots of individual company costs of average and simple facts about companies. The procedure does not allow calculation of standard errors of the estimates but when compared with existing cost of capital methods is shown to be a useful addition to the methodology of estimation.