CFA - Equity.txt

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Author:
Anonymous
ID:
165541
Filename:
CFA - Equity.txt
Updated:
2012-08-10 10:36:34
Tags:
CFA Equity
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Description:
CFA Equity
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  1. CAPM
    Required Return on Stock = Rf + Beta(Equity Risk Premium)

    Equity risk premium = Expected Market Return - Rf
  2. Multi-Factor Model for determining required return on stock
    required return = Rf + (risk premium)1 + (rish premium)2 + ... + (risk premium)n

    Risk Premium = (factor sensitivity)i * (factor risk premium)i
  3. Fama - French
    Required return on stock = RF + Betamkt(Rmkt - RF) + Betasmb(Rsmall - Rbig) + Betahml(Rhbm - Rlbm)
  4. Pastor-Stambaugh Model
    Fama-French + Betaliquidity(Rliquidity)
  5. Build Up Method
    Required Return = RF + equity risk premium + size premium + specific company premium
  6. Bond Yield Plus Risk Premium
    Required return = YTM + risk premium
  7. Adjusted Beta
    (2/3 * regression Beta) + (1/3 * 1)
  8. WACC
    Wd * rd * (1 - tax rate) + We * re

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