Home
Flashcards
Preview
CFA - Equity
The flashcards below were created by user
SpeedRacer
on
FreezingBlue Flashcards
.
Quiz
iOS
Android
More
CAPM
Required Return on Stock = R
f
+ Beta(Equity Risk Premium)
Equity risk premium = Expected Market Return - R
f
Multi-Factor Model for determining required return on stock
required return = R
f
+ (risk premium)
1
+ (rish premium)
2
+ ... + (risk premium)
n
Risk Premium = (factor sensitivity)
i
* (factor risk premium)
i
Fama - French
Required return on stock = RF + Beta
mkt
(R
mkt
- RF) + Beta
smb
(R
small
- R
big
) + Beta
hml
(R
hbm
- R
lbm
)
Pastor-Stambaugh Model
Fama-French + Beta
liquidity
(R
liquidity
)
Build Up Method
Required Return = RF + equity risk premium + size premium + specific company premium
Bond Yield Plus Risk Premium
Required return = YTM + risk premium
Adjusted Beta
(2/3 * regression Beta) + (1/3 * 1)
WACC
W
d
* r
d
* (1 - tax rate) + W
e
* r
e
Author:
SpeedRacer
ID:
12430
Card Set:
CFA - Equity
Updated:
2010-03-30 01:31:14
Tags:
CFA
Folders:
Description:
CFA Level 2
Show Answers:
Home
Flashcards
Preview