Empirical analysis of premium and discount for valuation
Project/Area Number |
25380461
|
Research Category |
Grant-in-Aid for Scientific Research (C)
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Allocation Type | Multi-year Fund |
Section | 一般 |
Research Field |
Management
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Research Institution | Kyoto University (2016) Kobe University (2013-2015) |
Principal Investigator |
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Co-Investigator(Kenkyū-buntansha) |
中岡 孝剛 近畿大学, 経営学部, 准教授 (50633822)
|
Project Period (FY) |
2013-04-01 – 2017-03-31
|
Project Status |
Completed (Fiscal Year 2016)
|
Budget Amount *help |
¥4,940,000 (Direct Cost: ¥3,800,000、Indirect Cost: ¥1,140,000)
Fiscal Year 2016: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2015: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2014: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
Fiscal Year 2013: ¥1,950,000 (Direct Cost: ¥1,500,000、Indirect Cost: ¥450,000)
|
Keywords | 企業価値評価 / エクイティ・リスクプレミアム / カントリー・リスクプレミアム / サイズプレミアム / クロスボーダー・バリュエーション / ソブリンスプレッド / 相対的ボラティリティ / グローバルなマーケット・ポートフォリオの指標 / 非流動性ディスカウント / マイナスのリスクフリー・レート / 非流動性ディスカスント / クロスボーダー / 株式資本コスト / 為替リスク |
Outline of Final Research Achievements |
This research investigated country risk premium (CRP) and equity market risk premium (ERP) from both academic and practical viewpoints. CRP and ERP are very important factors for valuation of cross border M&A. Using comprehensive international capital market data, we calculated CRP and ERP. We estimated CRPs for about 140 countries by using government bond spread between developing country and US. We also estimated ERPs of various countries (mainly including Asian developing countries) by using some models. We also found that size premium has been diminished in Japanese capital market after 2000.
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Report
(5 results)
Research Products
(12 results)
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[Presentation] 経営と財務2015
Author(s)
砂川伸幸
Organizer
日本経営財務研究学会
Place of Presentation
甲南大学(兵庫県神戸市)
Year and Date
2015-03-28
Related Report
Invited
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