Simultaneous determination of market value and risk premium in the valuation of firms
| dc.contributor.author | Lutz, Stefan | |
| dc.date.accessioned | 2023-06-20T09:14:57Z | |
| dc.date.available | 2023-06-20T09:14:57Z | |
| dc.date.issued | 2012-11 | |
| dc.description | JEL classification: G1, G3, M4 | |
| dc.description.abstract | Valuing a firm using the discounted cash flow method (DCF) requires the joint determination of the market value of its equity (MVE) together with the equity risk premium (ERP) the firm should earn, since the latter is part of the discount rate used in the calculation of the MVE. This paper presents a theoretical derivation of how MVE and ERP can be calculated simultaneously under fairly general conditions. Besides firm data on free cash flow to equity the only external data needed are the risk-free rate of interest and a parameter indicating the required market risk premium per return volatility. | |
| dc.description.faculty | Fac. de Ciencias Económicas y Empresariales | |
| dc.description.faculty | Instituto Complutense de Análisis Económico (ICAE) | |
| dc.description.refereed | FALSE | |
| dc.description.status | unpub | |
| dc.eprint.id | https://eprints.ucm.es/id/eprint/17038 | |
| dc.identifier.relatedurl | https://www.ucm.es/icae | |
| dc.identifier.uri | https://hdl.handle.net/20.500.14352/49121 | |
| dc.issue.number | 25 | |
| dc.language.iso | eng | |
| dc.relation.ispartofseries | Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE) | |
| dc.rights | Atribución-NoComercial 3.0 España | |
| dc.rights.accessRights | open access | |
| dc.rights.uri | https://creativecommons.org/licenses/by-nc/3.0/es/ | |
| dc.subject.keyword | Firm valuation | |
| dc.subject.keyword | DCF | |
| dc.subject.keyword | CAPM | |
| dc.subject.keyword | Risk premium | |
| dc.subject.keyword | Transfer pricing. | |
| dc.subject.ucm | Econometría (Economía) | |
| dc.subject.unesco | 5302 Econometría | |
| dc.title | Simultaneous determination of market value and risk premium in the valuation of firms | |
| dc.type | technical report | |
| dc.volume.number | 2012 | |
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| dspace.entity.type | Publication |
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