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Market Risk Premium
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Book Synopsis Handbook of the Equity Risk Premium by : Rajnish Mehra
Download or read book Handbook of the Equity Risk Premium written by Rajnish Mehra and published by Elsevier. This book was released on 2011-08-11 with total page 635 pages. Available in PDF, EPUB and Kindle. Book excerpt: Edited by Rajnish Mehra, this volume focuses on the equity risk premium puzzle, a term coined by Mehra and Prescott in 1985 which encompasses a number of empirical regularities in the prices of capital assets that are at odds with the predictions of standard economic theory.
Book Synopsis The Risk Premium Factor by : Stephen D. Hassett
Download or read book The Risk Premium Factor written by Stephen D. Hassett and published by John Wiley & Sons. This book was released on 2011-08-31 with total page 210 pages. Available in PDF, EPUB and Kindle. Book excerpt: A radical, definitive explanation of the link between loss aversion theory, the equity risk premium and stock price, and how to profit from it The Risk Premium Factor presents and proves a radical new theory that explains the stock market, offering a quantitative explanation for all the booms, busts, bubbles, and multiple expansions and contractions of the market we have experienced over the past half-century. Written by Stephen D. Hassett, a corporate development executive, author and specialist in value management, mergers and acquisitions, new venture strategy, development, and execution for high technology, SaaS, web, and mobile businesses, the book convincingly demonstrates that the equity risk premium is proportional to long-term Treasury yields, establishing a connection to loss aversion theory. Explains stock prices from 1960 through the present including the 2008/09 "market meltdown" Shows how the S&P 500 has consistently reverted to values predicted by the model Solves the equity premium puzzle by showing that it is consistent with findings on loss aversion Demonstrates that three factors drive valuation and stock price: earnings, long term growth, and interest rates Understanding the stock market is simple. By grasping the simplicity, business leaders, corporate decision makers, private equity, venture capital, professional, and individual investors will fully understand the system under which they operate, and find themselves empowered to make better decisions managing their businesses and investment portfolios.
Book Synopsis The Equity Risk Premium by : Bradford Cornell
Download or read book The Equity Risk Premium written by Bradford Cornell and published by John Wiley & Sons. This book was released on 1999-05-26 with total page 248 pages. Available in PDF, EPUB and Kindle. Book excerpt: Das Thema Risikoprämie für Aktien (Equity Risk Premium) wird hier zum ersten Mal verständlich erklärt. Die Risikoprämie für Aktien stellt einen Renditeausgleich dar für das erhöhte Risiko, das ein Anleger bei der Investition in Aktien eingeht, im Vergleich zu einer Investition in risikofreie Staatsanleihen. Die Risikoprämie ist zwar von der Theorie her einfach, jedoch in der Praxis ein sehr komplexes Phänomen. Für Finanzentscheidungen ist es von größter Bedeutung, daß man das Prinzip der Risikoprämie versteht und es anwenden kann. Cornell erläutert das Thema Schritt für Schritt sehr anschaulich und ohne terminologischen Ballast. Zunächst wird die Risikoprämie im Zusammenhang mit der Geschichte des Aktienmarktes betrachtet. Der Haussemarkt der 90er dient dabei als Fallstudie. Cornell zeigt, welche Rückschlüsse man durch die Analyse der Risikoprämie im historischen Verlauf für den Aktienmarkt ziehen kann, z.B. ob Aktienkurse steigen oder fallen oder ob sich der Aktienmarkt verändert. Vorausschauende Schätzungen der Risikoprämie werden anhand verschiedener konkurrierender Modelle analysiert, wobei die Vorzüge der jeweiligen Methode mitbewertet werden. 'Equity Risk Premium' ist das erste Buch, das dieses wichtige Prinzip der Risiko-Nutzen-Analyse erschöpfend behandelt. Es vermittelt einen tiefen Einblick und deckt alle Grundlagen ab, damit Investoren fundierte Finanzentscheidungen treffen können. Ein absolutes Muß für institutionelle Anleger, Geldmanager und Finanzvorstände, die auf eine fundierte Marktanalyse zurückgreifen müssen. (06/99)
Book Synopsis The Little Book of Valuation by : Aswath Damodaran
Download or read book The Little Book of Valuation written by Aswath Damodaran and published by John Wiley & Sons. This book was released on 2011-03-29 with total page 269 pages. Available in PDF, EPUB and Kindle. Book excerpt: An accessible, and intuitive, guide to stock valuation Valuation is at the heart of any investment decision, whether that decision is to buy, sell, or hold. In The Little Book of Valuation, expert Aswath Damodaran explains the techniques in language that any investors can understand, so you can make better investment decisions when reviewing stock research reports and engaging in independent efforts to value and pick stocks. Page by page, Damodaran distills the fundamentals of valuation, without glossing over or ignoring key concepts, and develops models that you can easily understand and use. Along the way, he covers various valuation approaches from intrinsic or discounted cash flow valuation and multiples or relative valuation to some elements of real option valuation. Includes case studies and examples that will help build your valuation skills Written by Aswath Damodaran, one of today's most respected valuation experts Includes an accompanying iPhone application (iVal) that makes the lessons of the book immediately useable Written with the individual investor in mind, this reliable guide will not only help you value a company quickly, but will also help you make sense of valuations done by others or found in comprehensive equity research reports.
Book Synopsis Risk and Return for Regulated Industries by : Bente Villadsen
Download or read book Risk and Return for Regulated Industries written by Bente Villadsen and published by Academic Press. This book was released on 2017-04-27 with total page 362 pages. Available in PDF, EPUB and Kindle. Book excerpt: Risk and Return for Regulated Industries provides a much-needed, comprehensive review of how cost of capital risk arises and can be measured, how the special risks regulated industries face affect fair return, and the challenges that regulated industries are likely to face in the future. Rather than following the trend of broad industry introductions or textbook style reviews of utility finance, it covers the topics of most interest to regulators, regulated companies, regulatory lawyers, and rate-of-return analysts in all countries. Accordingly, the book also includes case studies about various countries and discussions of the lessons international regulatory procedures can offer. - Presents a unified treatment of the regulatory principles and practices used to assess the required return on capital - Addresses current practices before exploring the ways methods play out in practice, including irregularities, shortcomings, and concerns for the future - Focuses on developed economies instead of providing a comprehensive global reviews - Foreword by Stewart C. Myers
Book Synopsis Market Risk Premium by : Pablo Fernandez
Download or read book Market Risk Premium written by Pablo Fernandez and published by . This book was released on 2004 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: The market risk premium is one of the most important but elusive parameters in finance. It is also called equity premium, market premium and risk premium. The term market risk premium is difficult to understand because it is used to designate three different concepts:1. Required market risk premium. It is the incremental return of a diversified portfolio (the market) over the risk-free rate (return of treasury bonds) required by an investor. It is needed for calculating the required return to equity (cost of equity).2. Historical market risk premium. It is the historical differential return of the stock market over treasury bonds.3. Expected market risk premium. It is the expected differential return of the stock market over treasury bonds.Many authors and finance practitioners assume that expected market risk premium is equal to the historical market risk premium and to the required market risk premium. The CAPM assumes that the required market risk premium is equal to the expected market risk premium. The three concepts are different. The historical market risk premium is equal for all investors, but the required and the expected market risk premium are different for different investors. We also claim that there is no required market risk premium for the market as a whole: different investors use different required market risk premiums.
Book Synopsis The Equity Risk Premium by : William N. Goetzmann
Download or read book The Equity Risk Premium written by William N. Goetzmann and published by Oxford University Press. This book was released on 2006-11-16 with total page 568 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book aims to create a strong understanding of the empirical basis for the equity risk premium. Through the research and anaylsis of two scholars who are experts in this field, this volume presents the key issues that are paramount to investors, including whether or not to use historical data as a method of equity investing, and can the equity premium reflect changes in fundamental values and cash flows of the market.
Book Synopsis The Equity Risk Premium: A Contextual Literature Review by : Laurence B. Siegel
Download or read book The Equity Risk Premium: A Contextual Literature Review written by Laurence B. Siegel and published by CFA Institute Research Foundation. This book was released on 2017-12-08 with total page 69 pages. Available in PDF, EPUB and Kindle. Book excerpt: Research into the equity risk premium, often considered the most important number in finance, falls into three broad groupings. First, researchers have measured the margin by which equity total returns have exceeded fixed-income or cash returns over long historical periods and have projected this measure of the equity risk premium into the future. Second, the dividend discount model—or a variant of it, such as an earnings discount model—is used to estimate the future return on an equity index, and the fixed-income or cash yield is then subtracted to arrive at an equity risk premium expectation or forecast. Third, academics have used macroeconomic techniques to estimate what premium investors might rationally require for taking the risk of equities. Current thinking emphasizes the second, or dividend discount, approach and projects an equity risk premium centered on 3½% to 4%.
Book Synopsis Cost of Capital by : Shannon P. Pratt
Download or read book Cost of Capital written by Shannon P. Pratt and published by John Wiley & Sons. This book was released on 2008-02-25 with total page 448 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this long-awaited Third Edition of Cost of Capital: Applications and Examples, renowned valuation experts and authors Shannon Pratt and Roger Grabowski address the most controversial issues and problems in estimating the cost of capital. This authoritative book makes a timely and significant contribution to the business valuation body of knowledge and is an essential part of the expert's library.
Book Synopsis Searching for the Right Market Risk Premium by : Steffi M. Braun
Download or read book Searching for the Right Market Risk Premium written by Steffi M. Braun and published by VDM Publishing. This book was released on 2008-01-01 with total page 100 pages. Available in PDF, EPUB and Kindle. Book excerpt: The cost of equity is complex to estimate as investors require a premium for bearing risk. Finance experts have for years been dealing with a precise and practice-orientated model to estimate the cost of equity. In 1964/65, Sharpe and Lintner developed the Capital Asset Pricing Model, which is now widely accepted and used in finance practice. According to the CAPM, the cost of equity is calculated by adding a risk premium to the risk free rate. This risk premium includes the market risk premium. There exist several approaches how to estimate the market risk premium. They can be roughly categorized into historical approaches and forward-looking models. This book endeavours to summarize and classify existing models as well as to evaluate their theoretical background, accuracy, and practicability. It will present a clear understanding of the market risk premium and the pros and cons of the different calculation methods to conclude on the most appropriate approach to determine the market risk premium. The calculation models are evaluated according to predefined criteria and the most suitable from each category is chosen to be applied to Austria, Germany, and the United Kingdom.
Book Synopsis Intermediate Financial Theory by : Jean-Pierre Danthine
Download or read book Intermediate Financial Theory written by Jean-Pierre Danthine and published by Elsevier. This book was released on 2005-07-25 with total page 391 pages. Available in PDF, EPUB and Kindle. Book excerpt: The second edition of this authoritative textbook continues the tradition of providing clear and concise descriptions of the new and classic concepts in financial theory. The authors keep the theory accessible by requiring very little mathematical background. First edition published by Prentice-Hall in 2001- ISBN 0130174467.The second edition includes new structure emphasizing the distinction between the equilibrium and the arbitrage perspectives on valuation and pricing, as well as a new chapter on asset management for the long term investor."This book does admirably what it sets out to do - provide a bridge between MBA-level finance texts and PhD-level texts....many books claim to require little prior mathematical training, but this one actually does so. This book may be a good one for Ph.D students outside finance who need some basic training in financial theory or for those looking for a more user-friendly introduction to advanced theory. The exercises are very good." --Ian Gow, Student, Graduate School of Business, Stanford University - Completely updated edition of classic textbook that fills a gap between MBA level texts and PHD level texts - Focuses on clear explanations of key concepts and requires limited mathematical prerequisites - Updates includes new structure emphasizing the distinction between the equilibrium and the arbitrage perspectives on valuation and pricing, as well as a new chapter on asset management for the long term investor
Book Synopsis The Missing Risk Premium by : Eric G. Falkenstein
Download or read book The Missing Risk Premium written by Eric G. Falkenstein and published by Createspace Independent Publishing Platform. This book was released on 2012-08-16 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Risk is the deviation from the consensus rather than an exposure to a covariance, and this implies there is no risk premium in general. It also implies that when there are a large number of people buying highly volatile assets, such assets will have negative returns in equilibrium. As there are several independent motivations for people to buy highly volatile assets, intuitively risky assets generally have lower-than-average returns. This novel conception of risk implies many things more consistent with the data than the current theory. Risk taking is an important life skill, so understanding its nature is important, and unfortunately academics who study it full-time are like so many other experts: when not irrelevant, 180 degrees wrong. This book explains the current asset pricing theory, and proposes an alternative, using theory and a unique survey of the data across many asset classes. Familiarity with some MBA level finance is helpful but not necessary to appreciate this book.
Book Synopsis Ratings, Rating Agencies and the Global Financial System by : Richard M. Levich
Download or read book Ratings, Rating Agencies and the Global Financial System written by Richard M. Levich and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 380 pages. Available in PDF, EPUB and Kindle. Book excerpt: Ratings, Rating Agencies and the Global Financial System brings together the research of economists at New York University and the University of Maryland, along with those from the private sector, government bodies, and other universities. The first section of the volume focuses on the historical origins of the credit rating business and its present day industrial organization structure. The second section presents several empirical studies crafted largely around individual firm-level or bank-level data. These studies examine (a) the relationship between ratings and the default and recovery experience of corporate borrowers, (b) the comparability of credit ratings made by domestic and foreign rating agencies, and (c) the usefulness of financial market indicators for rating banks, among other topics. In the third section, the record of sovereign credit ratings in predicting financial crises and the reaction of financial markets to changes in credit ratings is examined. The final section of the volume emphasizes policy issues now facing regulators and credit rating agencies.
Book Synopsis Changes in the Market Risk Premium and the Cost of Capital by : Robert S. Harris
Download or read book Changes in the Market Risk Premium and the Cost of Capital written by Robert S. Harris and published by . This book was released on 2015 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides evidence that the equity market risk premium is not constant and draws implications for estimating the cost of capital. Using data from US markets, we demonstrate that the equity market risk premium varies substantially over time. Moreover, these variations are linked to changes in long-term interest rates, credit spreads on corporate bonds and anticipated volatility in equity markets. Given these patterns, the common practice of using a constant market risk premium creates estimates which overstate the response of shareholder return requirements to changes in interest rates and ignore key shifts in risks facing investors. Improved practice would incorporate an estimate of the market risk premium that reflects current market conditions and the relationships among the equity risk premium, interest rates and key metrics of market risk.
Book Synopsis Popularity: A Bridge between Classical and Behavioral Finance by : Roger G. Ibbotson
Download or read book Popularity: A Bridge between Classical and Behavioral Finance written by Roger G. Ibbotson and published by CFA Institute Research Foundation. This book was released on 2018 with total page 118 pages. Available in PDF, EPUB and Kindle. Book excerpt: Classical and behavioral finance are often seen as being at odds, but the idea of “popularity” has been introduced as a way of reconciling the two approaches. Investors like or dislike various characteristics of securities for rational reasons (as in classical finance) or irrational reasons (as in behavioral finance), which makes the assets popular or unpopular. In the capital markets, popular (unpopular) securities trade at prices that are higher (lower) than they would be otherwise; hence, the shares may provide lower (higher) expected returns.This book builds on this idea and expands it in two major ways. First, it introduces a rigorous asset pricing model, the popularity asset pricing model (PAPM), which adds investor preferences for security characteristics other than the risk and expected return that are part of the capital asset pricing model. A major conclusion of the PAPM is that the expected return of any security is a linear function of not only its systematic risk (beta) but also of all security characteristics that investors care about. The other major contribution of the book is new empirical work that, while confirming the well-known premiums (such as size, value, and liquidity) in a popularity context, supports the popularity hypothesis on the basis of portfolios of stocks based on such characteristics as brand value, sustainable competitive advantage, and reputation. Popularity unifies the factors that affect price in classical finance with those that drive price in behavioral finance, thus creating a unifying theory or bridge between classical and behavioral finance.
Book Synopsis Financial Markets and the Real Economy by : John H. Cochrane
Download or read book Financial Markets and the Real Economy written by John H. Cochrane and published by Now Publishers Inc. This book was released on 2005 with total page 117 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Markets and the Real Economy reviews the current academic literature on the macroeconomics of finance.
Book Synopsis Handbook of Market Risk by : Christian Szylar
Download or read book Handbook of Market Risk written by Christian Szylar and published by John Wiley & Sons. This book was released on 2013-12-04 with total page 432 pages. Available in PDF, EPUB and Kindle. Book excerpt: A ONE-STOP GUIDE FOR THE THEORIES, APPLICATIONS, AND STATISTICAL METHODOLOGIES OF MARKET RISK Understanding and investigating the impacts of market risk on the financial landscape is crucial in preventing crises. Written by a hedge fund specialist, the Handbook of Market Risk is the comprehensive guide to the subject of market risk. Featuring a format that is accessible and convenient, the handbook employs numerous examples to underscore the application of the material in a real-world setting. The book starts by introducing the various methods to measure market risk while continuing to emphasize stress testing, liquidity, and interest rate implications. Covering topics intrinsic to understanding and applying market risk, the handbook features: An introduction to financial markets The historical perspective from market events and diverse mathematics to the value-at-risk Return and volatility estimates Diversification, portfolio risk, and efficient frontier The Capital Asset Pricing Model and the Arbitrage Pricing Theory The use of a fundamental multi-factors model Financial derivatives instruments Fixed income and interest rate risk Liquidity risk Alternative investments Stress testing and back testing Banks and Basel II/III The Handbook of Market Risk is a must-have resource for financial engineers, quantitative analysts, regulators, risk managers in investments banks, and large-scale consultancy groups advising banks on internal systems. The handbook is also an excellent text for academics teaching postgraduate courses on financial methodology.
