2016 Fiscal Year Final Research Report
Empirical analysis of premium and discount for valuation
| Project/Area Number |
25380461
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Multi-year Fund |
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| Section | 一般 |
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| Research Field |
Management
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| Research Institution | Kyoto University (2016)
Kobe University (2013-2015) |
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Principal Investigator |
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| Project Period (FY) |
2013-04-01 – 2017-03-31
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| 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 |
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| 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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| Free Research Field |
ファイナンス
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