The usual estimate comes from the capital asset pricing model: risk-free rate, plus the stock's sensitivity to the market, times the equity-risk-premium. Small companies and illiquid ones often get a size premium added on top.
Every input is contested. Beta is measured from past prices and unstable; the risk premium is an assumption dressed as data. Treat the result as a plausible range, typically 7% to 12% for a listed developed-market company, not a precise figure.
Example: with a 4.2% risk-free rate, a beta of 1.05 and a 4.6% equity risk premium, Northwind Tools has a cost of equity of 4.2 plus 1.05 times 4.6, or 9.0%.
Related: equity-risk-premium, wacc, cost-of-debt, discount-rate, earnings-yield