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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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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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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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Implied Cost of Capital and Mutual Fund Performance
Hendriock, Mario - 2020
Which trading strategies differentiate skilled mutual fund managers from their unsuccessful peers? This study provides evidence for a positive association between holdings' implied cost of capital (ICC) and future fund performance. Consistent with large transaction costs of ICC-based investments...
Persistent link: https://www.econbiz.de/10012840019
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Patent-to-Market Premium
Qiu, Jiaping - 2018
A firm's patent-to-market (PTM) ratio refers to the percentage of a firm's market value that is attributable to its patent market value. A hedging portfolio based on PTM ratio generates a monthly return of 71 basis points. The CAPM cannot be rejected for firms with low PTM ratios, but is...
Persistent link: https://www.econbiz.de/10012907866
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Assessing the non-financial investment profitability with variable discount rate
Gwóźdź, Katarzyna - 2015
valuation is also mentioned. The research allows to select the risk premium valuation to assess the non-financial investment …
Persistent link: https://www.econbiz.de/10012010917
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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
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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
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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
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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