Estimation of the Expected Market Risk Premium for Corporate Valuations : Methodologies and Empirical Evidence for Equity Markets in Key Countries
New
by
Hannes Gsell
Book Details
Format
Hardback or Cased Book
ISBN-10
3631614012
ISBN-13
9783631614013
Edition
New
Publisher
Peter Lang AG
Imprint
Peter Lang AG
Country of Manufacture
DE
Country of Publication
GB
Publication Date
Mar 15th, 2011
Print length
444 Pages
Weight
712 grams
Dimensions
21.90 x 15.30 x 3.10 cms
Product Classification:
Accounting: study & revision guidesBudgeting & financial management
Ksh 15,400.00
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Estimation of the Expected Market Risk Premium for Corporate Valuations
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.
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