跨國企業(yè)和國際財務(wù)管理[文獻(xiàn)翻譯]-全文預(yù)覽
【正文】 tors changes over time. This consideration is likely overwhelmed by the fact that to obtain reasonable standard errors one requires very long time periods (at least twentyfive years). Indeed, the standard errors from tenyear estimates often exceed the risk premium estimates, making the estimates redundant. Second, the riskfree rate chosen in calculating expected returns, in other words the method must match up the duration of the cash flows being discounted (Damodoran 2000). If the yield curve is upward sloping, the risk premium will be larger when estimated relative to shortterm government securities. Consistency is required and given the previous ments, the use of equity premium calculated relative to longdated government bonds seems appropriate for most cases. Third, a debate exists over how to pute the average returns on stocks and bonds, in particular whether to use arithmetic or geometric averages. While conventional wisdom argues for use of arithmetic averages, strong arguments can be made in favor of the geometric alternative. Specifically, empirical studies indicate equity returns are negatively correlated over time, implying the use of arithmetic averages (which assume zero correlation) will exaggerate the premium. Moreover, while assets pricing models are typically single period models, their use to generate expected returns over long periods (say ten year) suggests the single period’ is much longer than the data period used in their estimation (typically one year). In such a case the argument for geometric premiums is enhanced.A further issue questions whether one should incorporate a country premium, and if so how it is to be estimated. The first question has already been answered in the affirmative. The second issue requires an ability to: (ⅰ)measure country risk, (ⅱ) convert the estimate into a risk premium, and then (ⅲ) evaluate individual MNE’s exposure. On measurement, country sovereign bond ratings provided by rating agencies incorporate current market risk perceptions, and have the advantage of being measured as spreads relative to US treasuries. However, they only measure default risk, not equity risk. A crude method of converting them to the latter involves adjusting the default spread of the country converting for the volatility of its equity market in relation to its bond market (σ（equity）/σ(bond)). The country’s equity premium is set equal to the country default spread multiplied by (σ（equity）/σ(bond)). This equity premium will increase if either the country’s rating drops or its equity market volatility increases. Finally, on evaluating MNEs’ individual exposure, one has to identify the MNE’s exposure to country risk in relation to all other marker risks it faces. This requires detailed analysis of the process used to estimate beta. Not only is this beyond the scope of this paper, but it also represents an ongoing research activity over which a concensus has yet to emerge.Finally, we contend that further research attention should be given to alternative methods of estimating country risk premium that do not require corrections for country risk in the manner indicated above. Damodoran(2000) suggests use of implied equity premiums derived from the following equity market valuation model, which essentially measures the present value of dividends growing at a constant rate:Value of Corporation = Expected Dividends next period/(required rate of return of equity – expected growth rate in dividends).The only unobservable input in this model is the required rate of return on equity. This relation can therefore be solved to generate an implied expected retu
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