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2016 International Valuation Handbook - Guide to Cost of Capital

2016 International Valuation Handbook - Guide to Cost of Capital

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

ISBN: 978-1-119-13300-1

Aug 2016

464 pages

Select type: Hardcover

In Stock

$485.00

Description

The New Standard Source of International Cost of Capital Analysis

The 2016 International Valuation Handbook - Guide to Cost of Capital provides data and methodology guidance that will enable the reader to assess risk and develop cost of capital estimates on a global scale, coupled with data exhibits that provide country-level country risk premia (CRPs), Relative Volatility (RV) factors, and equity risk premia (ERPs). The data exhibits can be used to estimate country-level cost of equity capital globally, for up to 188 countries, from the perspective of investors based in up to 56 different countries.*

For more information about Duff & Phelps valuation data resources published by Wiley, please visit www.wiley.com/go/valuationhandbooks.

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Key Features
  • Country-level Country Risk Premia (CRPs) for up to 188 countries: The 2016 International Valuation Handbook - Guide to Cost of Capital provides country-level country risk premia for up to 188 countries globally, from the perspective of investors based in up to 56 different countries. CRPs are estimated using the following models: (i) Country Credit Rating Model and (ii) Country Yield Spread Model.
  • Relative Volatility (RV) factors for up to 75 countries: The 2016 International Valuation Handbook - Guide to Cost of Capital provides country-level relative volatility factors for up to 75 countries from the perspective of investors in the U.S. and Germany. Relative volatility factors are estimated using the Relative Standard Deviation Model.
  • Equity Risk Premia (ERPs) for 16 countries based in USD and "local" currency: The 2016 International Valuation Handbook - Guide to Cost of Capital provides long-horizon and short-horizon ERP data in USD and "local" currencies. Additional ERP resources include Pablo Fernandez' survey of ERPs for a variety of countries.
*Dependent on the estimation model being employed and data availability. Some models do not include estimates for all countries.

2016 International Valuation Handbook - Guide to Cost of Capital + Semiannual PDF Update (Set)

This item: 2016 International Valuation Handbook - Guide to Cost of Capital

2016 International Valuation Handbook - Guide to Cost of Capital

(Hardcover $485.00)

Purchased Together:$835.00

Acknowledgements xi

Introduction xii

Who Should Use the 2016 International Valuation Handbook – Guide to Cost of Capital xii

New and Notable xiii

About the International Valuation Handbook – Guide to Cost of Capital xiv

ERPs, CRPs, and RVs Are Different, and Are Properly Used Differently xviii

Risk Premia Over the Risk-free Rate and Risk Premia over CAPM (i.e., size premia)

Measure Different Types of Risks xix

Chapter 1 International Cost of Capital – Overview 1-1

Cost of Capital Defined 1-1

Are Country Risks Real? 1-2

Risks Typically Associated with International Investment 1-5

Does the Currency Used to Project Cash Flows Impact the Discount Rate? 1-11

Summary 1-13

Chapter 2 Strengths and Weaknesses of Commonly Used Models 2-1

World (or Global) CAPM 2-1

Single-country Version of the CAPM 2-4

Damodaran’s Local Country Risk Exposure Model 2-5

Alternative Risk Measures (downside risk) 2-6

What Model Should I Use? 2-11

Chapter 3 International Equity Risk Premia 3-1

Description of Data 3-1

Methodology 3-4

Description of Data Series Used 3-8

Currency Translation 3-15

How to Use the International ERP Tables 3-17

Appendix 3A: Additional Sources of International ERP Data 3A-1

Dimson, Marsh, and Staunton Equity Risk Premia Data 3A-1

Pablo Fernandez Equity Risk Premia and Risk-free Rate Surveys 3A-7

Appendix 3B: Additional Sources of Equity Risk Premium Data – Australia 3B-1

Overview of the Australian Dividend Imputation Tax System 3B-1

Australian Equity Risk Premium Under Three Investor Perspectives 3B-2

Chapter 4 Country Yield Spread Model 4-1

Introduction 4-1

Brief Background on Euromoney’s ECR Score 4-2

Investor Perspectives 4-3

Country Yield Spread Model 4-4

Methodology – Country Yield Spread Model 4-6

Using Country Yield Spread Model CRPs to Estimate Base Country-level Cost of Equity Capital 4-10

Using Country Yield Spread Model CRPs to Estimate Cost of Equity Capital for Use in Evaluating a Subject Business, Asset, or Project 4-12

Chapter 5 Relative Volatility Model 5-1

Relative Volatility Model 5-1

Investor Perspectives 5-2

Methodology – Relative Volatility Model 5-3

Using Relative Volatility Model RV Factors to Estimate Base Country-level
Cost of Equity Capital 5-5

Using Relative Volatility Model RV Factors to Estimate Cost of Equity Capital for Use in Evaluating a Subject Business, Asset, or Project 5-7

Chapter 6 Erb-Harvey-Viskanta Country Credit Rating Model 6-1

A Notable Difference with Previous Reports: Country Risk Premia (CRPs) 6-2

Data Sources 6-3

The CCR Model 6-5

Different Investor Perspectives 6-6

Global Cost of Equity Capital – High-level Comparisons 6-8

Presentation of Cost of Capital Data 6-14

Country Risk Premia (CRP) Defined 6-15

How CRPs Are Calculated 6-15

Using CCR Model CRPs to Estimate Base Country-level Cost of Equity Capital 6-17

Using CCR Model CRPs to Estimate Cost of Equity Capital for Use in Evaluating a Subject Business, Asset, or Project 6-20

Chapter 7 Firm Size and the Cost of Equity Capital in Europe 7-1

Differences in Returns Between Large and Small Companies in Europe 7-1

Countries Included 7-2

Data Sources 7-2

Regional Differences 7-3

Two Types of Risk Premia Examined 7-5

Conclusion 7-11

Data Exhibit 1: International Equity Risk Premia (ERPs)

Data Exhibit 2: Country Yield Spread Model: Country Risk Premia (CRPs)

Data Exhibit 3: Relative Volatility Model: Relative Volatility (RV) Factors

Data Exhibit 4: Erb-Harvey-Viskanta Country Credit Rating Model: Country Risk Premia (CRPs)

Data Exhibit 5: Study of Differences in Returns Between Large and Small Companies in Europe