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Encyclopedia of Financial Models, Volume I

Fabozzi, Frank J. - 2012

-PERIOD FINITE STATE ECONOMY -- PORTFOLIOS AND MARKET COMPLETENESS -- THE LAW OF ONE PRICE AND LINEAR PRICING -- ARBITRAGE AND …Arbitrage Pricing: Finite-State Models -- THE ARBITRAGE PRINCIPLE -- ARBITRAGE PRICING IN A ONE-PERIOD SETTING … -- ARBITRAGE PRICING IN A MULTIPERIOD FINITE-STATE SETTING -- THE BINOMIAL MODEL -- ARBITRAGE PRICING IN A DISCRETE …

Persistent link: https://www.econbiz.de/10012682658

Huge Dispersion of the Risk-Free Rate and Market Risk Premium Used by Analysts in USA and Europe in 2015

Fernandez, Pablo - 2017

We look at the Risk-Free Rate (RF) and the Market Risk Premium (MRP) used by analysts in 2015 to value companies of six countries. The dispersion of both, the RF and the MRP used, is huge, and the most unexpected result is that the dispersion is higher for the RF than for the MRP.We also find...

Persistent link: https://www.econbiz.de/10012970725

The Valuation of Corporate Coupon Bonds

Hilscher, Jens - 2020

This paper proposes and estimates a tractable, arbitrage-free valuation model for corporate coupon bonds that includes …

Persistent link: https://www.econbiz.de/10012851005

Equity Premium Used in 2011 for the USA by Analysts, Companies and Professors : A Survey

Fernandez, Pablo - 2011

The average Equity Premium or Market Risk Premium (MRP) used in 2011 by professors for the USA (5.7%) is higher than the one used by analysts (5.0%) and companies (5.6%). The standard deviation of the MRP used in 2011 by analysts (1.1%) is lower than the ones of companies (2.0%) and professors...

Persistent link: https://www.econbiz.de/10013122014

US Market Risk Premium Used in 2011 by Professors, Analysts and Companies : A Survey with 5.731 Answers

Fernandez, Pablo - 2011

The average Market Risk Premium (MRP) used in 2011 by professors for the USA (5.7%) is higher than the one used by analysts (5.0%) and companies (5.6%). The standard deviation of the MRP used in 2011 by analysts (1.1%) is lower than the ones of companies (2.0%) and professors (1.6%). Most...

Persistent link: https://www.econbiz.de/10013127369

Market Risk Premium Used in 2010 by Analysts and Companies : A Survey with 2,400 Answers

Fernandez, Pablo - 2010

The average MRP used by analysts in the USA (5.1%) was similar to the one used by their colleagues in Europe (5.0%). But the average MRP used by companies in the USA (5.3%) was smaller than the one used by companies in Europe (5.7%), and UK (5.6%).The dispersion of the MRP used was high, but...

Persistent link: https://www.econbiz.de/10013143377