Estimating the Equity Risk Premium Using Accounting Fundamentals

Autor:	Anthony Steele, John O'Hanlon
Rok vydání:	2000
Předmět:	Earnings response coefficient Equity risk Financial economics business.industry Equity premium puzzle Risk premium Cost of equity Accounting Return on equity Economics Business Management and Accounting (miscellaneous) business Finance Equity capital markets Residual income valuation
Zdroj:	Journal of Business Finance & Accounting. 27:1051-1083
ISSN:	1468-5957 0306-686X
DOI:	10.1111/1468-5957.00346
Popis:	This study uses recent developments in the theoretical modelling of the links between unrecorded accounting goodwill, accounting profitability and the cost of equity, together with Capital Asset Pricing Model (CAPM) betas, to estimate the ex-ante equity risk premium in the U.K.. The results suggest that the premium is in the region of 4% to 5%. This lends support to the suggestion that the ex-ante equity risk premium is substantially less than the historical average of the excess of equity returns over the risk-free rate.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::d6cdcadca7b82da55974be9c3916c011 https://doi.org/10.1111/1468-5957.00346 Zobrazit plný text záznamu Plný text ve formátu PDF