Damodaran(2022)观察了从2008年9月到2022年3月每个月初的隐含股权风险溢价以及标准普尔500指数相同时间点的波动率指数(VIX),两者整体有同步变化,且相关性在波动率指数快速上升时出现明显上升。 Bollerslev et al.(2009)主张驱动预期股票回报的并不是隐含波动性本身,而是隐含方差(在期权价格中)与实际方差之间的差异。...
(In an addendum, we also look at equity risk premiums during the market crisis, starting on September 12, 2008 through December 31, 2008, and then track the shift the changes through September 30, 2009.)doi:10.1111/j.1468-0416.2009.00151.xAswath Damodaran...
April 10, 2025 - Equity Premium What are the different ways of estimating the equity risk premium, and which one is best? In his March 2025 paper entitled “Equity Risk Premiums (ERP): Determinants, Estimation, and Implications – The 2025 Edition”, Aswath Damodaran updates a comprehensive ov...
比如个股对公司规模风险的暴露可以用market cap来度量。个股对流动性风险的暴露可以用average bid/ask s...
Size premium (SP):A3% to 5% small cap premiumgenerally applies to small businesses, according to Aswath Damodaran, Professor of Finance at the Stern School of Business at NYU. Company-specific risk (CSR):This rate is subjective and ranges from 0% to 10% or more based on revenue, market,...
most relevant to the investment being considered and from this the risk premium may be determined. Damodaran (2011, p.81) summarises this concisely, no “matter what the premium used by an analyst, whether it be 3% or 12%, there is back-up evidence offered that the premium is appropriate...
CAPM relates the cost of equity (ke) to the risk-free rate of return and market risk premium as follows: (7.1)CAPM:ke=Rf+β(Rm−Rf) where Rf = risk-free rate of return β = beta (See the section of this chapter entitled “Analyzing Risk.”) Rm = expected rate of return on ...
Definition of Equity Risk Premium (Operating Country) Equity risk premium in the country where the company operates as estimated by professor Aswath Damodaran at NYU Stern. Source: http://pages.stern.nyu.edu/~adamodar/New_Home_Page/datafile/ctryprem.html. Sector Benchmark Analysis Sector No ...
Equity Risk Premium 热度: Global Equity Risk Modeling 热度: equity derivatives and market risk models 热度: Estimating Equity Risk Premiums Aswath Damodaran Stern School of Business 44 West Fourth Street New York, NY 10012 Adamodar@stern.nyu.edu ...
and the degree of control that the investor will have through equity ownership are the two components that determine the levels of value in a transaction. Their resultant calculations will add a premium, or a discount, to thefinancial valuationof the asset and result in the fair market price....