Equity Premium: Historical, Expected, Required and Implied

Fernández, Pablo

doi:10.2139/ssrn.933070

Cited by 49 publications

(17 citation statements)

References 146 publications

(134 reference statements)

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“…We assume that investment decisions are made by profit-seeking local investors, who randomly draw investment projects that last for three periods: 0 (the planning period), 1 (the short term) and 2 (the long term). 5 Fernandez (2015) adopts a similar method to construct a detailed data set on capital controls. However, their capital control measures consist of 10 different types of capital flows, some of which measure financial assets that are rarely used in most countries.…”

Section: Investorsmentioning

confidence: 99%

How does capital control spur economic growth?

Huang

You

2018

World Economy

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This paper provides a conceptual and empirical framework for evaluating the effect of capital controls on long‐term economic growth. In a small open economy which relies on successful investment projects to provide capital goods, taking out short‐term loans has two contradictory impacts: (i) it reduces the interest costs of financing investment projects; and (ii) it also leads to larger asset losses in the scenario of short‐term debt run. In this work, we hypothesise that private financing decisions made by domestic investors are distorted towards excessive risk‐taking, leading to ineffective capital formation. Thus, capital control policies, particularly regulations on short‐term loans, can be socially beneficial as they alter the debt composition, promote capital formation and achieve a higher output level. Using a panel data set covering 77 countries from 1995 to 2009, we employ a system generalised method of moments (GMM) estimator to sequentially test three hypotheses and find strong empirical evidence that supports our theory.

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Section: Investorsmentioning

confidence: 99%

How does capital control spur economic growth?

Huang

You

2018

World Economy

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“…As Fernandez (2007Fernandez ( , 2009b claims, the term "equity premium" is used to designate four different concepts: 1. Historical equity premium (HEP): a historical differential return of the stock market over treasuries.…”

Section: Mrp or Ep (Equity Premium): 4 Different Conceptsmentioning

confidence: 99%

Capital Market and Economic Growth in Transition Countries: Evidence from South East Europe

Fernández¹,

Ortíz²,

Acín³

2017

JIBRM

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ABSTRACT2017 Research Leap/Inovatus Services Ltd. All rights reserved. 10.18775/jibrm.184910.18775/jibrm. -8558.201510.18775/jibrm. .26.3003 URL: http://dx.doi.org/10.18775/jibrm.184910.18775/jibrm. -8558.2015 This paper contains the statistics of the Equity Premium or Market Risk Premium (MRP) used in 2016 for 71 countries. We got answers for more countries, but we only report the results for 71 countries with more than eight answers. 54% of the MRP used in 2016 decreased (vs 2015), and 38% increased. Most previous surveys have been interested in the Expected MRP, but this survey asks about the Required MRP. The paper also contains the references used to justify the MRP, and comments from 46 persons. DOI:

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“…This default spread is added on the mature market premium to arrive at the total ERP for Greece in 2011, assuming the mature market premium being Germany's for the reasons explained above. To get to the historical risk premium of Germany (considered as a mature market) we used the values presented in Table 3 of Dimson et al (2006) as cited in Fernández (2006), specifically the geometric mean of the yield of a ten-year German Government Bond; that is 5.28%. Greece's default spread for the year 2011 was 7% (Damodaran, 2014b), hence the total ERP for Greece in 2011 was ERP = 5.28 + 7 = 12.28%.…”

Section: Equity Risk Premiummentioning

confidence: 99%

Valuation of mergers and acquisitions: the case study of a Greek listed company

Zavitsanos

2017

IJDSRM

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The purpose of this research is to estimate the value of two listed companies in the process of their merger and the investigation of the financial synergy value; a comparison of the results to those of the published valuation is also presented. The valuation method applied is the discounted free cash flow to the firm. The method's inputs were decided by comparing the firms' financial ratios to the industry's for a limited period of time (time series and cross-sectional analysis), as part of the strategic analysis. The models applied in the strategic analysis are the Boston Consulting Group Matrix and the Strategic Group Map Analysis. For the calculation of the discount rate, the capital asset pricing model is used. A combination of both the capital asset pricing model and the discounted cash flow to the firm is used in the valuation of synergy. Finally, the results reveal that both firms are divesting wealth instead of creating it. We also demonstrate that synergy value does exist in the merger; however the fiscal and financial conditions under which the Greek aquaculture firms operate may prevent them from surviving the competition in the long run.

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Equity Premium: Historical, Expected, Required and Implied

Cited by 49 publications

References 146 publications

How does capital control spur economic growth?

How does capital control spur economic growth?

Capital Market and Economic Growth in Transition Countries: Evidence from South East Europe

Valuation of mergers and acquisitions: the case study of a Greek listed company

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