Estimating Shareholder Risk Premia Using Analysts' Growth Forecasts
利用分析师增长预测估算股东必要回报率和风险溢价，发现1982-1991年市场风险溢价平均为6.47%（相对长期国债）和5.13%（相对公司债），且个股必要回报与风险正相关、市场风险溢价随时间变化。
This paper presents estimates of shareholder required rates of return and risk premia which are derived using forward-looking analysts' growth forecasts. We update through 1991 earlier work which, due to data availability, was restricted to the period 1982-1984. Using stronger tests, we also reexamine the efficacy of using such an expectational approach as an alternative to the use of historical averages. Using the S&P 500 as a proxy for the market portfolio, we find an average market risk premium ( 1982-1991) of 6.47% above yields on long-term U.S. government bonds and 5.13% above yields on corporate bonds. We also find that required returns for individual stocks vary directly with their risk (as proxied by beta) and that the market risk premium varies over time. These findings show that, in addition to fitting the theoretical requirement of being forward-looking, use of analysts' forecasts in estimating return requirements provides reasonable empirical results that can he useful in practical applications.