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United States Equity Risk Premium Report – June 2021

 150.00 excluding VAT

June 2021 ERP/MRP Summary for the United States

58 pages, English language, pdf download

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Categories: Equity Risk Premium, USA
Tags: equity risk premium, ERP, market risk premium, MRP, United States, USA

58 pages

Language: English

Format: pdf download

The June 2021 United States Equity Risk Premium Report provides conditional and non-conditional equity risk premium (ERP) estimates for the United States based on data from publicly traded companies. Our ERP calculations are based on Implied, Historical and Credit Spread approaches and we comment on observed ERP surveys. The results of 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 historical and forecasted implied multiples. Historical calculations are provided in order to demonstrate the robustness of our results.

Historical ERP results are based on our proprietary USA 200 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 S&P 500 and DJIA indices.

Credit Spread ERP results are based on 2 methods. The first method extrapolates ERP from historical corporate bond yield spread ranges and the second method extrapolates ERP from a regression between default probabilities and yield spreads.

Click here to view an extract from our report.