36 pages
Language: English
Format: pdf download
The March 2021 Benelux Equity Risk Premium Report provides conditional and non-conditional equity risk premium (ERP) estimates for a single Benelux (Belgium, Netherlands and Luxembourg) market based on data from companies listed on the Amsterdam, Brussels and Luxembourg stock exchanges. Our ERP estimates are based on Implied, Historical and Credit Spread approaches. Statistical tests are provided for certain measures to assist you in evaluating our conclusions.
Implied ERP results are based on free cash flow to firm (FCFF) and free cash flow to equity (FCFE) methods. We logic check the results based on several implied multiples. Historical calculations are provided in order to demonstrate the robustness of our results.
Historical ERP results are based on our proprietary NBL 30 index that was specially designed for ERP estimation purposes. We apply 5, 10, 15 and 20 year measurement periods and compare these results to historical method ERP’s that would have resulted from the major Benelux stock indices.
Credit Spread ERP results are based on 12 months of bond yield spreads. ERP is extrapolated from a range of historical yield spreads.