根据Damodaran(2022)引用格雷厄姆和哈维公司对首席财务官(CFO)或公司进行的年度调查,股权风险溢价在经济危机后往往较高,如调查溢价在危机刚结束的2009年2月达到峰值,为4.56%,而在繁荣时期往往较低,如2006年3月达到最低记录的2.42%。2008年金融危机之后,调查答复的标准差有所增加。 学者从学术层面对股权风险溢价进行估...
Marginal equity risk premium in the country where the company operates over the U.S. equity risk premium 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 data availa...
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 ...
Market risk premium is similar to the β coefficient of the capital asset pricing model, and its explanatory power is around 70%. The Fama-French three-factor model improves the explanatory power to 90%. The model of Hypothesis 1 and Hypothesis 2 is represented as equation (2). The α ...