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...
Equity Risk and Market Crashes: Equity Risk Premiums (ERP): Determinants, Estimation and Implications 隆陋 The 2012 Edition (Aswath Damodaran) Stock Market Crashes in 2007篓C2009: Were We Able to Predict Them? (S篓娄bastien Lleo ... O Roggi,EI Altman 被引量: 5发表: 2013年 Equity Risk ...
Elroy Dimson, Paul Marsh, and Mike Staunton, “Global Evidence on the Equity Risk Premium,” Aug. 2003. Roger G. Ibbotson and Peng Chen, “Stock Market Returns in the Long Run: Participating in the Real Economy,” Mar 2002 Aswath Damodaran, “Equity Risk Premiums (ERP): Determinants, Esti...
作者: A Damodaran 摘要: We analyze the history of the equity risk premium from surveys of U.S. Chief Financial Officers (CFOs) conducted every quarter from June 2000 to March 2012. The risk premium is the expected 10-year S&P 500 return relative to a 10-year U.S. Treasury bond yield....
risk上的暴露。而其他因子的暴露是可以用其他指标来描述的，比如个股对公司规模风险的暴露可以用market ...
Equity risk premium is a central component of every risk and return model in finance and a key input to estimate costs of equity and capital in both corporate finance and valuation. An article by Damodaran examines three broad approaches... E Busseti - 《Papers》 被引量: 0发表: 2019年 Th...
A Damodaran - 《Ssrn Electronic Journal》 被引量: 73发表: 2011年 Forward-Looking Market Risk Premium Amethod for computing forward-looking market risk premium is developed in this paper. We first derive a theoretical expression that links forward-looking r... JC Duan,W Zhang - 《Management Sci...
The average implied equity risk premium over the entire period is 4.02% and that number is the basis for the bullishness that some investors/analysts bring to the market. If the equity risk premium, currently at 5.45%, does drop to 4.02% , the S&P 500 would trade at 2270, an increase ...
If the credit rating of the country drops further, or if the equity market becomes more volatile, the equity risk premium will increase. The estimate is also affected by the time horizon used for calculating the premium. Note: This approach was suggested by Aswath Damodaran in his paper "Esti...