英文标题：
《Risk and Return models for Equity Markets and Implied Equity Risk
Premium》
---
作者：
Enzo Busseti
---
最新提交年份：
2019
---
英文摘要：
Equity risk premium is a central component of every risk and return model in finance and a key input to estimate costs of equity and capital in both corporate finance and valuation. An article by Damodaran examines three broad approaches for estimating the equity risk premium. The first is survey based, it consists in asking common investors or big players like pension fund managers what they require as a premium to invest in equity. The second is to look at the premia earned historically by investing in stocks, as opposed to risk-free investments. The third method tries to extrapolate a market-consensus on equity risk premium (Implied Equity Risk Premium) by analysing equity prices on the market today. After having introduced some basic concepts and models, I\'ll briefly explain the pluses and minuses of the first two methods, and analyse more deeply the third. In the end I\'ll show the results of my estimation of ERP on real data, using variants of the Implied ERP (third) method.
---
中文摘要：
股权风险溢价是财务学中每个风险和回报模型的核心组成部分，也是公司财务和估值中估算股权和资本成本的关键输入。Damodaran的一篇文章探讨了估计股票风险溢价的三种广泛方法。第一种是基于调查的，它包括询问普通投资者或养老基金经理等大公司投资股票需要什么溢价。第二，看看历史上通过投资股票而获得的溢价，而不是无风险投资。第三种方法试图通过分析当前市场上的股票价格，推断市场对股票风险溢价（隐含股票风险溢价）的共识。在介绍了一些基本概念和模型之后，我将简要说明前两种方法的优缺点，并对第三种方法进行更深入的分析。最后，我将使用隐含ERP（第三种）方法的变体，展示我对真实数据的ERP估计结果。
---
分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
--
一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
--

---
PDF下载：
-->