2016 International Valuation Handbook - Industry Cost of by Roger J. Grabowski, James P. Harrington, Duff & Phelps,

By Roger J. Grabowski, James P. Harrington, Duff & Phelps, Carla Nunes

The New common resource of foreign rate of Capital Analysis

The 2016 foreign Valuation guide - consultant to price of Capital offers info and method suggestions that may let the reader to evaluate possibility and increase rate of capital estimates on an international scale, coupled with facts shows that offer country-level nation threat premia (CRPs), Relative Volatility (RV) components, and fairness chance premia (ERPs). the knowledge shows can be utilized to estimate country-level price of fairness capital globally, for as much as 188 nations, from the point of view of traders established in as much as fifty six diversified countries.*

For additional info approximately Duff & Phelps valuation facts assets released through Wiley, please stopover at www.wiley.com/go/valuationhandbooks.

Also Available

  • 2016 foreign Valuation guide - expense of Capital
  • 2016 Valuation guide - consultant to price of Capital
  • 2016 Valuation instruction manual - fee of Capital

Key Features

  • Country-level state probability Premia (CRPs) for as much as 188 nations: The 2016 foreign Valuation guide - consultant to price of Capital offers country-level nation chance premia for as much as 188 nations globally, from the point of view of traders dependent in as much as fifty six diversified international locations. CRPs are envisioned utilizing the next types: (i) nation credit standing version and (ii) state Yield unfold Model.
  • Relative Volatility (RV) elements for as much as seventy five nations: The 2016 overseas Valuation guide - advisor to price of Capital presents country-level relative volatility elements for as much as seventy five international locations from the viewpoint of traders within the U.S. and Germany. Relative volatility components are envisioned utilizing the Relative general Deviation Model.
  • Equity hazard Premia (ERPs) for sixteen international locations dependent in USD and "local" currency: The 2016 overseas Valuation instruction manual - consultant to price of Capital offers long-horizon and short-horizon ERP information in USD and "local" currencies. extra ERP assets contain Pablo Fernandez' survey of ERPs for numerous countries.

*Dependent at the estimation version being hired and information availability. a few versions don't comprise estimates for all international locations.

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Sample text

44 2016 International Valuation Handbook – Industry Cost of Capital Downside Beta n EDownside ¦ ^Min R  B ,0 u Min R i  Bm ,0 ` m i n 1 n ¦ ^Min R m n 1  Bm ,0 ` 2 where: E Downside = Downside beta with respect to benchmark return Ri = Historical return for company or portfolio i Bi = Benchmark return for company or portfolio i Rm = Historical return on market portfolio Bm = Benchmark return for the market portfolio The “downside” beta attempts to isolate the downside potential of a security’s returns relative to that of the market’s returns.

The term that represents “excess” return in the textbook CAPM equation is (ƌ x ERP). 3977, respectively. 3977, respectively. Source of company returns: S&P Research Insight Global Vantage database; Market benchmark used: MSCI Europe Index; short-term risk-free rate used: IMF UK Treasury Bill index. Source of underlying market benchmark and short-term risk-free rate returns: Morningstar Direct database. All calculations by Duff & Phelps. 2016 International Valuation Handbook – Industry Cost of Capital 41 Raw (OLS) Beta Ri  Rf D  Ei u Rm  Rf  H where: Ri = Historical return on company or portfolio i Rf = Expected return on a risk-free security (assumed to be "0" herein) D = Regression constant Ei = Beta coefficient of company or portfolio i Rm = Historical return on market portfolio H = Regression error term Raw (OLS) beta is calculated in this book as a linear regression with a company’s (or portfolio’s) monthly total returns acting as the dependent variable, and the monthly total returns of the market benchmark acting as the independent variable.

Weight” will be closer to 0). Graph – Betas (Levered) The “Betas (Levered)” bar graph plots the GICS Composite Raw (OLS) beta, Peer Group beta, Blume-adjusted beta, Vasicek-adjusted beta, Sum beta, and Downside beta. 2016 International Valuation Handbook – Industry Cost of Capital 47 Unlevered Betas “Unlevered” betas (also called “asset” betas) have the effect of financial leverage removed, thereby reflecting only the effect of business risk. , no debt). The (levered) betas calculated in the industry analyses presented herein are as follows: (i) Raw (OLS) Beta, (ii) Blume-adjusted Raw (OLS) Beta, (iii) Peer Group Beta, (iv) Vasicek-adjusted Raw (OLS) Beta, (v) Sum Beta, and (vi) Downside Beta.

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