Quantification of company specific risk premium within cost of equity capital estimation process: a panel data regression analysis for the Italian market
Alfieri, Adriano (A.A. 2021/2022) Quantification of company specific risk premium within cost of equity capital estimation process: a panel data regression analysis for the Italian market. Tesi di Laurea in Business valuation, Luiss Guido Carli, relatore Marco Vulpiani, pp. 115. [Master's Degree Thesis]
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Abstract/Index
Equity cost of capital: estimation process. Risk-free rate. Equity risk premium: introduction and estimation approaches. Build-up method & extended CAPM: size effect and company-specific risk premium. Multi-factor models: fama-French three-factor model & arbitrage pricing theory. Company-specific risk premium: literature review C-SRP and risk-return relationship: differences in market risk and fundamental. Research on market’s pricing of other company-specific risk factors. C-SRP and firm’s characteristics: an empirical analysis for the European market. C-SRP and firms’ characteristics: an empirical analysis of the Italian market. Panel data analysis: sample of companies, variables considered and regression results.
References
Bibliografia: pp. 113-115.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree program in Corporate Finance, English language (LM-77) |
| Outstanding Thesis: | Department of Business and Management |
| Chair: | Business valuation |
| Thesis Supervisor: | Vulpiani, Marco |
| Thesis Co-Supervisor: | Torrisi, Alfio |
| Academic Year: | 2021/2022 |
| Session: | Autumn |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 27 Feb 2023 10:00 |
| Last Modified: | 16 May 2023 10:48 |
| URI: | https://tesi.luiss.it/id/eprint/35223 |
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