在equity这门课中,我们默认equity risk premium就是market risk premium,因为我们只有股票市场的数据较为容易获得,而其他投资产品如债券衍生品等数据很不容易获得就无法计算风险值,所以一般我们默认是用股票市场的风险模拟市场风险的,这两者可以等同 ---虽然现在很辛苦,但努力过的感觉真的很好,加油!添加评论 0 0 1 ...
任何投资的预期回报都可以写成无风险利率和补偿风险的风险溢价之和,股权风险溢价(Equity Risk Premium,以下简称ERP)是投资者投资“平均风险”股权投资(或投资一类股票)所需的溢价。股票风险溢价反映了参与者对经济与市场风险程度以及对该风险定价的基本判断,这些判断会影响每项风险投资的预期回报以及对该投资的估计价值。...
Keywords: equity market risk premium, international stock market integration, emerging capital marketsdoi:10.7835/jcc-berj-2009-0019Robert JohnsonLuc SoenenJournal of CENTRUM CathedraJohnson, R., Soenen, L., (2009), Equity market risk premium and global integration, Journal of Centrum Cathedra, 2, ...
如果指代的是整体股票市场，那么equity risk premium就是（Rm-Rf），三级这种情况比较多 ...
Equity Risk Premium(ERP): rmarket−rriskfree 不常用的估计方法:用历史估计(存在幸存者偏差,导致 rm 高估)、用stationary rm (有波动时不能用) Gordon Growth Model: P0=D1r−g Macroeconomic model(又叫Supply side model或Ibbotson and Chen model): ERP=(1+i)(1−rEg)(1+Peg)−1+Y−Rf...
Equity Market Risk Premium Equity Marketing Hong Kong, Ltd. Equity Markets Group Equity Membership Candidate equity method Equity Mortgage Equity Mortgage Equity Mortgage Equity Mortgage Equity Mortgage Equity multiplier Equity Multipliers Equity Non-Hedge equity note Equity Notes equity of care equity of ...
The main innovation is that we construct a measure of the ex ante equity market risk premium using corporate bond yield spread data. This measure is forward-looking and does not rely critically on either realized equity returns or instrumental variables. We find strong support for a positive ...
the premium is referred to as an equity risk premium. On the other hand, when the non-Treasury investment is a portfolio or a market index such as the S&P 500, the premium is referred to as the market risk premium.
An equity risk premium is an excess return that investing in the stock market provides over a risk-free rate.
This paper contains the statistics of the Market Risk Premium (MRP) or Equity Premium used in 2011 for 56 countries. We got answers for 85 countries, but we only report the results for 56 countries with more than 6 answers. The answers to the survey were provided by analysts, by managers...