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Zukunftsorientierte Bestimmung von Kapitalkosten für die Unternehmensbewertung
Gebhardt, Günther; Daske, Holger - 2004
Der Bestimmung risikoadäquater Diskontierungssätze kommt bei der Unternehmensbedeutung eine zentrale Bedeutung zu. Wird zu deren Bestimmung in der praktischen Anwendung das CAPM verwendet, gilt es dabei, risikolose Zinssätze und Risikoprämien zu bestimmen, für die erwartete Renditen des...
Persistent link: https://www.econbiz.de/10010263304
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Risk Premium Factor Valuation Model for Calculating the Equity Market Risk Premium and Estimating S&P 500 Market Values
Hassett, Stephen D. - 2011
to valuation with a simple but new approach to estimating the Market or Equity Risk Premium (ERP) that produces very good …
Persistent link: https://www.econbiz.de/10013134480
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The Price of Risk : From Modern Portfolio Theory to Leveraged Portfolio Theory
Le Marois, Olivier - 2019
The Modern Portfolio Theory (MPT) has been the cornerstone of the asset allocation for over 40 years. In the past decade though, it led in a rather systematic way to bad investments decisions. One of MPT's main assumptions, investor risk aversion that translates into volatility aversion, biases...
Persistent link: https://www.econbiz.de/10012905661
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How the Risk Premium Factor Model and Loss Aversion Solve the Equity Premium Puzzle
Hassett, Stephen D. - 2019
implicit in the Risk Premium Valuation Model (Hassett 2010) that the equity risk premium is a function of risk free rates …
Persistent link: https://www.econbiz.de/10012906021
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Private Capital : Expected Return and Risk, Asset Allocation
Verbiest, Eddy H. - 2022
Preqin and Pitchbook data are classified and analyzed to derive a coherent set of risk-return assumptions to combine with Listed liquid assets in a traditional mean-variance framework. We find expected returns of 11%-12% for PE and 8% for PD, PC detailed per subclass. Risk is decomposed in Class...
Persistent link: https://www.econbiz.de/10014238291
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Chapter 10 Arbitrage, state prices and portfolio theory
Dybvig, Philip H.; Ross, Stephen A. - 2003
equivalence of absence of arbitrage, the existence of a positive linear pricing rule, and the existence of an optimum for some …
Persistent link: https://www.econbiz.de/10014023861
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Arbitrage Opportunity, Impossible Frontier, and Logical Circularity in CAPM Equilibrium
Abad, Pharos - 2020
Persistent link: https://www.econbiz.de/10012841039
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Convergence of Expected Returns through Arbitrage : Beta Is Indifferent to Equity Valuation
Miyamoto, Kenji - 2018
can ignore the beta as a component of the equity cost. The arbitrage results in valuation differences in the end, such as … between the risk, cost and return for the equity valuation. In the fixed income investment, the excess risk is basically … actually the cost. This confusion has to dissipate with arbitrage at the market where the short selling is institutionalized or …
Persistent link: https://www.econbiz.de/10012907181
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MAX, lottery-type stocks, and the cross-section of stock returns : evidence from the Chinese stock market
Hoang Van Hai - In: Cogent economics & finance 11 (2023) 1, pp. 1-33
This study empirically investigates a relationship between MAX and lottery-type stocks in the Chinese stock markets. We find that the lottery-type stocks, which are preferred for lottery demand of investors, are negatively priced in the Chinese market. Moreover, the MAX effect as a proxy for...
Persistent link: https://www.econbiz.de/10014500653
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Re-Evaluating the Value of Modern Portfolio Theory and Asset Pricing Models Based on Behavioral Insights from Benjamin Graham's Value Investing Paradigm
Otuteye, Eben - 2017
's value investing paradigm. We propose that if, instead of getting fixated on investors' optimal rational decision making, we … adopt Benjamin Graham's value investing perspective which explicitly acknowledges that investor decision making is by … definition imperfect due to psychological biases, we could derive better investment decision making processes …
Persistent link: https://www.econbiz.de/10012954957