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Estimation of the Expected Market Risk Premium for Corporate Valuations: Methodologies and Empirical Evidence for Equity Markets in Key Countries - Schriften Zur Quantitativen Wirtschaftswissenschaft 4 (Hardback)
  • Estimation of the Expected Market Risk Premium for Corporate Valuations: Methodologies and Empirical Evidence for Equity Markets in Key Countries - Schriften Zur Quantitativen Wirtschaftswissenschaft 4 (Hardback)
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Estimation of the Expected Market Risk Premium for Corporate Valuations: Methodologies and Empirical Evidence for Equity Markets in Key Countries - Schriften Zur Quantitativen Wirtschaftswissenschaft 4 (Hardback)

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£63.00
Hardback 444 Pages / Published: 15/03/2011
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The expected market risk premium (MRP) is a crucial parameter for corporate valuations using risk-adjusted discount rates. Despite its importance, there is no consensus on its correct estimation. This book provides a conceptual review of several estimation methods focused on implied cost of capital but also including historical averages and return decomposition. In addition, these methods are applied in a comprehensive empirical study for six key equity markets (Canada, France, Germany, Japan, UK, and USA). While professionals predominantly rely on historical averages, the empirical results demonstrate that the expected MRP is volatile over time and related to the market price level particularly during the recent financial crisis. The findings suggest to reject the usage of unconditional historical averages and to apply conditional estimates according to the "Stichtagsprinzip" instead.

Publisher: Peter Lang AG
ISBN: 9783631614013
Number of pages: 444
Weight: 710 g
Dimensions: 210 x 148 mm
Edition: New edition

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