Given the importance of equity risk premium, it is surprising how haphazard the estimation of equity risk premiums remains in practice.
This paper by Aswath Damodaran at the New York University Stern School of Business examines a number of different approaches to determining the equity risk premium and why different approaches yield different values. It closes by looking at how to choose the “right” number to use in analysis.
The paper can be downloaded here
equity, equity risk premium, research
Singapore’s two largest asset owners, GIC and Temasek, see attractive opportunities in climate adaptation solutions – a relatively underfunded area compared to decarbonisation. The former has already made selective adaptation investments and said the opportunity set across public and private debt and equity could increase to $9 trillion by 2050.
As part of the broader trend to become professional organisations, pension funds and soverieng wealth funds are expanding geographically with the establishment of satellite offices. This expansion raises concerns of governance, culture, politics and talent. This paper looks at the case studies from 12 funds that have launched or considering launching satellite offices and offers
This paper by the French National Center for Scientific Research (CNRS) investigates the main determinants of pension funds investment in private equity funds, and particularly in venture capital and leverage buyouts in the US and Canada over the 1996-2011 period. The results show some important differences between pension funds allocating to private equity and more traditional assets. The first ones are
This article published by the European Corporate Governance and written by Tilburg University academics examines the post-financial crisis trends in the private equity industry, showing investors are demanding the inclusion of more investor-favorable compensation terms in limited partnership agreements. The findings suggest these new terms not only provide the investors with more favorable management fee and profit
A research paper by executives at the Dutch Central Bank, De Nederlandsche Bank, examines tail risk, and shows that historical tail betas are able to capture the sensitivity to future systematic tail risk. The paper can be downloaded here Systemic tail riskmrec4inarticleinline Sponsored Content scnative1 scnative2 scnative3
Analysis of Bitcoin’s historical trading behaviour shows it has exchange rate volatility an order of magnitude higher than the volatilities of widely used currencies, undermining its usefulness as a unit of account or a store of value. Bitcoin’s daily exchange rates exhibit virtually zero correlation with bona fide currencies, making it useless for risk management
Because it’s nearly Christmas, and conexust1f.flywheelstaging.com will close down for the holidays, we thought this research piece was apt. Elroy Dimson, Peter L. Rousseau, and Christophe Spaenjers, have looked at the impact of aging on wine prices and the performance of wine as a long-term investment, using a unique historical database for five long-established Bordeaux
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