Damodaran on Valuation_ Security Analysis for Investment and Corporate Finance ( PDFDrive )
returnsonstocksandaveragereturnsonrisk-freesecurities over an extended period of history. Estimation Issues Whileusersofriskandr ...
TABLE 2.1Standard Errors in Risk Premium Estimates Notethattogetreasonablestandarderrors,weneedverylong time periods ofhistorica ...
should be the premium earned by stocks over long-term bonds. 3.Arithmeticandgeometricaverages.Thefinalstickingpoint whenit comes ...
TABLE2.2HistoricalRiskPremiumsfortheUnitedStates, 1928–2004 Notethatthepremiumscanrangefrom3.47percentto8.60 percent, depending ...
Data from Dimson et al. (2002). The differences in compounded annual returns between stocksand short-term governments/long-term ...
does not make sense. If stocks always beat riskless investmentsinthelongterm,stocksshouldberisklesstoan investor with a long tim ...
risk-freerate,andgeometricaveragestoreflectourdesirefor a risk premium that we can use for longer-term expected returns.Wecanuse ...
measure of equity risk is the standard deviation in stock prices; higher standard deviations are generally associated with more ...
illiquid. This approach will understate the equity risk premiums in those markets. Default spreads plus relative standard devia ...
premium for a mature market. Thus, the total equity risk premium forBrazil using theapproachand a 4.84percent premium for the Un ...
Implied Equity Premiums Thereisanalternativetoestimatingriskpremiumsthatdoes notrequirehistoricaldataorcorrectionsforcountryrisk ...
If thecurrentrisk-freerate is 6 percent, this willyieldan equity risk premium of 3 percent. Thisapproachcanbegeneralizedtoallowf ...
aCash flow in the first year = 3.34% of 1,248.29(1.08) Ifweassumethatthesearereasonableestimatesofthecash flows and that the ind ...
24 andTreasurybondrates,butthisanalysiscouldhavebeen done entirely in the local currency. Theimpliedequitypremiumschangeovertime ...
their risk and return models. In fact, the average implied equityriskpremiumhasbeenbetweenabout 4 percentover the past 40 years. ...
pricesforindividualassets,thesecondistoestimatethebetas fromfundamentals,andthethirdistouseaccountingdata. We describe all three ...
Therearethreedecisionstheanalystmustmakeinsettingup theregressionjustdescribed.Thefirstconcernsthelengthof the estimation period ...
relevant measure of risk mayemerge by using the global index. Whiletheprocessofestimationofriskparametersisdifferent for the APM ...
TheregressionofDisneyreturnsagainsttheS&P 500 returns is summarized here: Basedonthisregression,thebetaforDisneyis1.01butthe ...
theyfeelarenecessarychangestomakethembetterestimates forthefuture.Ingeneral,betasreportedbydifferentservices for the samefirm ca ...
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