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...
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...
作者: A Damodaran 摘要: Equity risk premiums are a central component of every risk and return model in finance. Given their importance, it is surprising how haphazard the estimation of equity risk premiums remains in practice. The standard approach to estimating equity risk premiums remains the ...
Metrics similar to Equity Risk Premium (Operating Country) in the valuation category include: Avg Book / Market (10y) - Ten-year quarterly average Book / Market. WACC - Our estimate of the weighted average cost of capital for a company. Damodaran's Industry Cost of Capital - A general benc...
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 ...
Aswath Damodaran https://doi.org/10.1142/9789814417501_0012Cited by:9(Source: Crossref) Previous Next PDF/EPUB Tools Share Cite Recommend Abstract: The following sections are included: Equity Risk Premiums: Importance and Determinants Why Does the Equity Risk Premium Matter?
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...
Damodaran, A. (2017). Annual returns on stocks, bonds, and bills, 1928-current. Downloaded from http://www.stern.nyu.edu/~adamodar/pc/datasets/histretSP.xls. Epstein, L. G., & Zin, S. E. (1989). Substitution, risk aversion, and the temporal behavior of consumption and asset return...
Financial state- ments presented on the fair market value basis implicitly include risks, but they do not elimi- nate the need for risk reporting. 6.1. Risk contained in fair value Risk is implicitly included in fair market value, because market prices oscillate around assets' intrinsic value, ...