经理人估算ERPРJohn R. Graham和Campbell R. Harvey调查了企业CFO估算ERP,采用每季度调查一次的方式,平均每次调查人员超过330多人。Р一、折现率的确定(续)Р一、折现率的确定(续)Р一、折现率的确定(续)Р隐含ERP估算方法(Implied ERP):估算方式是利用上市公司未来经营业绩和上市公司目前的价值来估算隐含的折现率,然后扣除无风险收益率来估算ERP。具有代表性的研究包括:РThe Implied Equity Risk Premium -An Evaluation of Empirical Methods by David Schroder, Bonn Graduate School of Economics, University of BonnРEquity Risk Premiums (ERP): Determinants, Estimation and Implications – The 2011 Edition by Aswath Damodaran, Updated in February 2011РImplied ERP (US) on 12/31/2010 = 5.20% Implied ERP (US) on 12/31/2009 = 4.36% Implied ERP (US) on 12/31/2008 = 6.43%Р一、折现率的确定(续)Р一、折现率的确定(续)РAswath Damodaran采用隐含ERP方式估算近期月度ERP数据Р月度Р标准普尔500指数Р长期国债收益率Р标准普尔500成份股现金流Р长期望增长率РERPРSep-08Р1252Р3.72%Р Р Р4.22%РOct-08Р1166Р3.83%Р Р Р4.51%РNov-08Р969Р3.95%Р Р Р5.90%РDec-08
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