Estimating the Equity Risk Premium Using Accounting Fundamentals
利用会计商誉、盈利能力和资本资产定价模型贝塔值，估算英国1968至1995年的事前股权风险溢价约为5%，支持该溢价低于历史平均值的观点。
This study uses recent developments in the theoretical modelling of the links between unrecorded accounting goodwill, accounting profitability and the cost of equity, together with Capital Asset Pricing Model (CAPM) betas, to estimate the ex‐ante equity risk premium in the UK. The results suggest that, over our sample period from 1968 to 1995, the premium has been in the region of 5%. Our estimate lends support to the view that the ex‐ante equity risk premium is substantially less than the historical average of the excess of equity returns over the risk‐free rate, and is similar to the rates applied recently by UK competition regulators.