Historische Equity Risk Premium berekenen

Een manier om de Equity Risk Premium (ERP) te berekenen is met historische data. Eerst berekenen we het jaarlijkse verschil tussen het rendement van de aandelenmarkt en het rendement op Amerikaanse staatsobligaties. Daarna nemen we het gemiddelde van deze jaarlijkse verschillen. In deze oefening bereken je de historische ERP met data van 1928 tot en met 2016. Voor deze oefening gebruiken we het aandelenmarktrendement (sp_500) en het rendement op Amerikaanse staatsobligaties (tbond_10yr) van Professor Damodaran's website. Beide variabelen zijn opgeslagen in het object damodaran.

Deze oefening maakt deel uit van de cursus

Aandelenwaardering in R

Cursus bekijken

Oefeninstructies

Bereken elk jaar het verschil tussen het aandelenrendement en het obligatierendement.
Neem het gemiddelde (mean) van de jaarlijkse verschillen.

Praktische interactieve oefening

Probeer deze oefening eens door deze voorbeeldcode in te vullen.

# Review the first six rows of damodaran
head(damodaran)

# Calculate annual difference between stocks and bonds
diff <- ___

# Calculate ERP
erp <- ___
erp

Code bewerken en uitvoeren

Deze oefening maakt deel uit van de cursus

Aandelenwaardering in R

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Many individuals and institutions invest in equities. To do so effectively, the investor must have a solid understanding of how the value of the equity compares to the stock price. In this course, we focus on fundamental concepts of equity valuation. We begin with a discussion of time value of money and then move on to the first of two discounted cash flow methods we will discuss - the free cash flow to equity valuation model.

Exercise 1: Course Intro and Fundamental Valuation Exercise 2: Time Value of Money Exercise 3: Difference Between Valuing Enterprise and Equity Cash Flows Exercise 4: The Free Cash Flow to Equity Model Exercise 5: Calculating Operating Profit Exercise 6: Calculate Free Cash Flow to Equity Exercise 7: Calculating Terminal Value Exercise 8: Calculating Equity Value Exercise 9: Calculating Present Value of Free Cash Flow to Equity Exercise 10: Calculate Present Value of Terminal Value Exercise 11: Calculate Equity Value

One of the critical components of free cash flow to equity valuation is using reliable projections. In the first part of this chapter, we will discuss ways to analyze the projections to help us identify the right questions to ask. In the second part of this chapter, we will go through the second of our discounted cash flow models - the dividend discount model. In this approach, we discount expected dividends instead of free cash flows.

Exercise 1: Analyzing the Projections Exercise 2: Analyze Revenue Trends - Bar Chart Exercise 3: Analyze Revenue Trends - Regression Exercise 4: Perpetuity Growth Rate Exercise 5: Calculate Retention Ratio Exercise 6: Perpetuity Growth Rate Calculation Exercise 7: Dividend Discount Model Exercise 8: Valuing Preferred Stock Exercise 9: Valuation Assuming No Dividends For First Few Years Exercise 10: Valuation Assuming 2-Stages of Dividends

To be able to discount cash flows, we need a discount rate. For the free cash flow to equity and dividend discount model, the cost of equity is the appropriate discount rate. In this chapter, we will discuss how each of the components of the cost of equity are calculated.

Exercise 1: Wat is een discontovoet?Exercise 2: Risico en rendement Exercise 3: Rendementen berekenen Exercise 4: Beta schatten Exercise 5: Betas ont-hefbomen Exercise 6: Hamada- vs. Fernandez-formule Exercise 7: Oefening: Beta ont-leveren Exercise 8: Oefening: beta herleverageen Exercise 9: Risicovrije rente en aandelenrisicopremie Exercise 10: Risicovrije rente ophalen Exercise 11: Historische Equity Risk Premium berekenen

Huidige oefening

Exercise 12: Bereken de kosten van eigen vermogen

Relative valuation allows us to use the valuation of comparable companies to infer the value of our subject firm. In this chapter, we discuss how to identify comparable companies and how to calculate valuation multiples. We also show how to analyze the determinants of multiples.

Exercise 1: Relative Valuation Exercise 2: Identifying Comparable Firms Exercise 3: Valuation Multiples Exercise 4: Calculating Valuation Multiples Exercise 5: Calculating the Relevant Multiple Exercise 6: Implied Price Exercise 7: Analyzing Determinants of Multiples Exercise 8: Calculate ROE and P/B Exercise 9: Plot P/B vs. ROE Exercise 10: Strength of Relationship Exercise 11: Implied Price Using Regression Exercise 12: Difference in Implied Values

This chapter combines the lessons from Chapters 1 to 4 in a series of exercises. You will be asked to inspect the data and to value the firm using discounted cash flow and relative valuation approaches. At the end, you will combine the results in a summary table.

Exercise 1: Fundamental Valuation: Analyzing Projections Exercise 2: Visually Inspecting the Data Exercise 3: Using Regression to Test the Projections Exercise 4: Fundamental Valuation: Implementation Exercise 5: Cost of Equity Exercise 6: Calculate Value During Projection Period Exercise 7: Calculate the Terminal Value Exercise 8: Equity Value Per Free Cash Flow to Equity Model Exercise 9: Equity Value per Dividend Discount Model Exercise 10: Relative Valuation Exercise 11: Equity Value Per Price-to-Earnings Multiples Exercise 12: Combine valuation into a summary table Exercise 13: Congratulations!