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short-term volatility reflects uncertainty regarding monetary policy while long-term volatility is most closely associated with uncertainty regarding the real economy and inflation.
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Effective duration can be used to accurately measure the risk associated with parallel yield curve change
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Interpolated rate = rate for lower bound + (interpolated rate − lower bound)(higher bound rate − lower bound rate) / ( upper bound − lower bound)
Swap sprea […]
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build-up method=the risk-free rate+ the equity risk premium+the small stock premium+a company-specific risk premium+industry risk premium
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The Excess Earnings Method
w:working capital A ×rA
f:fixed assets B × rB
ee:excess earnings = E − w − fV:value of intangible assets={ee×(1+b)}/(r-g)
firm value = V+working capital+fixed assets
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EV = market value of common stock + market value of preferred equity + market value of debt + minority interest – cash and investments
earnings surprise = reported EPS − expected EPS
standardized unexpected ear […]
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RI = Earnings(t時) − r × Book(t−1時)
PV of continuing residual income in year T-1
PV = RI/(1+r−ω)
ω=persistence factor,0≤ω≤1
RIはTの時The present value of continuing residual income
={(P−B) +RI}/(1+r) -
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CFA2 residual income
PV of continuing residual income in year T – 1 = RIT/(1+r−ω)
ω=persistence factor,0≤ω≤1![プロフィール写真]()
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