Market risk premium

Gray, Stephen (2013) Market risk premium Sydney, NSW, Australia: Independent Pricing and Regulatory Tribunal of New South Wales

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Name Description MIMEType Size Downloads
Author Gray, Stephen
Title of report Market risk premium
Parent publication Review of WACC Methodology. Research: Final Report
Editor Peter J. Boxall
Simon Draper
Paul Paterson
Publication date 2013-05-18
ISBN 9781925032536
Publisher Independent Pricing and Regulatory Tribunal of New South Wales
Place of publication Sydney, NSW, Australia
Start page 44
End page 67
Total pages 24
Language eng
Formatted abstract
SFG Consulting has been engaged to advise the Independent Pricing and Regulatory Tribunal (“IPART” or “the Tribunal”) on methods for estimating the forward-looking market risk premium (“MRP”). This is an estimate of the difference in the expected return on the market portfolio of all risky assets and the risk free rate of interest. In almost all practical contexts, the market is considered to be the equity market because this is the type of liquid security for which market and accounting data is readily available. So for the purposes of this report we treat the market as the listed Australian equity market. The question of whether the market should be considered an international equity market or limited to Australian-listed securities does not form part of our analysis...
Q-Index Code AX
Q-Index Status Provisional Code
Institutional Status Non-UQ

Document type: Research Report
Collection: UQ Business School Publications
 
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Created: Wed, 19 Nov 2014, 15:21:56 EST by Karen Morgan on behalf of UQ Business School