RESPONSE TO 'ADJUSTING THE MARKET RISK PREMIUM TO REFLECT THE GLOBAL FINANCIAL CRISIS'

被引：0

作者：

Hall, Martin

机构：

来源：

JASSA-THE FINSIA JOURNAL OF APPLIED FINANCE | 2011年 / 04期

关键词：

market risk premium; cost of equity; global financial crisis; options pricing; implied volatility;

D O I：

暂无

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Bishop, Fitzsimmons and Officer's paper in JASSA: The Finsia Journal of Applied Finance (Issue 1, 2011) proposes a method for adjusting the market risk premium (MRP) based on the implied volatility derived from prices of three-month and 12-month call options on the ASX 200. while it is widely recognised that the M RP was higher during the global financial crisis (GFC), there are some significant issues with the authors' proposed method of quantifying this variation which are identified in this response.

引用

页码：11 / 14

页数：4