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Fernandez, Pablo - 2019

We calculate betas of 3,813 companies using 60 monthly returns each day of December 2001 and January 2002. lt;brgt;lt;brgt;The median of [maximum beta/minimum beta] was 3.07. lt;brgt;lt;brgt;Industry betas are also very unstable. The median (average) of the percentage daily change (in absolute...

Persistent link: https://www.econbiz.de/10012706305

IBEX 35 : 1991-2009 - Value Creation and Return

Fernandez, Pablo - 2010

We compute the shareholder value creation and the return of the companies in the IBEX 35 for the 18-year period 1991-2009. The average return was 12.5%, but 4.4% was due to the decline in interest rates (from 13% to 4%). The shareholder value creation in the whole period was 101 billion euros,...

Persistent link: https://www.econbiz.de/10013148636

IBEX 35 : 1991-2010 - Value Creation and Return

Fernandez, Pablo - 2011

We compute the shareholder value creation and the return of the companies in the IBEX 35 for the 19-year period 1991-201'3 The average return was 11%, but 2.9% was due to the decline in interest rates (from 13% to 5.5%). The shareholder value creation in the whole period was 23 billion euros,...

Persistent link: https://www.econbiz.de/10013131614

Total Return (TR) and Total Return for All Shareholders (TRAS). Difference for the Companies in the S&P 100

Fernandez, Pablo - 2020

The Total Return (TR), also called “return including dividends” and “Total Index Return” provides the theoretical return of a share, assuming that dividends are re-invested to purchase additional shares.The Total Return for All Shareholders (TRAS) is the return that all the shareholders...

Persistent link: https://www.econbiz.de/10012833189

Price to Earnings Ratio, Value to Book Ratio and Growth

Fernandez, Pablo - 2019

The PER is the most commonly used parameter in the stock market. The PER is the result of dividing the equity market value by the company's profit after tax.The PER depends on a number of factors, some of which are out of the company's control, such as variations in interest rates, and others...

Persistent link: https://www.econbiz.de/10012905422

The Equity Premium in 150 Textbooks

Fernandez, Pablo - 2019

I review 150 textbooks on corporate finance and valuation published between 1979 and 2009 by authors such as Brealey, Myers, Copeland, Damodaran, Merton, Ross, Bruner, Bodie, Penman, Arzac… and find that their recommendations regarding the equity premium range from 3% to 10%, and that 51 books...

Persistent link: https://www.econbiz.de/10012906191

CAPM : The Model and 307 Comments About It

Fernandez, Pablo - 2019

about the CAPM: 234 basically agree in using the adjective “absurd” to qualify the CAPM and 71 do not agree for several …) their opinions: real opinions of real persons that know finance and have thought about the CAPM, the market return, the beta …

Persistent link: https://www.econbiz.de/10012904629

CAPM : An Absurd Model

Fernandez, Pablo - 2019

The CAPM is about expected return. If you find a formula for expected returns that works well in the real markets …, would you publish it? Before or after becoming a billionaire?The CAPM is an absurd model because its assumptions and its … predictions/conclusions have no basis in the real world. The use of CAPM is also a source of litigation: many professors, lawyers …

Persistent link: https://www.econbiz.de/10012904691

WACC and CAPM According to Utilities Regulators : Confusions, Errors and Inconsistencies

Fernandez, Pablo - 2019

CAPM and the WACC), several inconsistencies estimating parameters and multiply the WACC by the depreciated book value of …

Persistent link: https://www.econbiz.de/10012893723

Equity Premium : Historical, Expected, Required and Implied

Fernandez, Pablo - 2019

The equity premium designates four different concepts: Historical Equity Premium (HEP); Expected Equity Premium (EEP); Required Equity Premium (REP); and Implied Equity Premium (IEP).lt;brgt;lt;brgt;We highlight the confusing message of the textbooks and academic articles regarding the equity...

Persistent link: https://www.econbiz.de/10012706191