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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