了解企业特定风险溢价

Q4 Economics, Econometrics and Finance

Journal of Business Valuation and Economic Loss Analysis Pub Date : 2023-05-09 DOI:10.1515/jbvela-2023-0004

S. Feldman, Todd J. Feldman

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引用次数: 0

摘要

摘要我们试图确定私营企业是否存在企业特定风险溢价（FSRP）。我们表明，私募股权投资者对公司特定风险进行定价，作为建立预期回报率障碍率的一部分。我们的研究基于私人资本市场项目构建的调查数据。我们将收益率分解为其组成部分——市场风险溢价、规模溢价、流动性溢价和企业特定风险溢价（FSRP）。我们发现，平均PE FSRP在0%到6%之间变化。这些发现表明，除非事实和情况另有说明，否则用于评估私营公司的资本积累成本应包括公司特定风险的溢价。

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Understanding the Firm Specific Risk Premium

Abstract We seek to determine whether a firm specific risk premium (FSRP) exists for private firms. We show that private equity investors price firm specific risk as part of establishing the expected rate of return hurdle rate. Our research is based on survey data constructed by the Private Capital Markets Project. We decompose the rate of return into its component parts-market risk premium, size premium, liquidity premium and firm specific risk premium (FSRP). We find that on average PE FSRP varies between zero and six percent. These findings indicate that the cost of capital buildup used in valuing private firms should include a premium for firm specific risk unless facts and circumstances suggest otherwise.

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来源期刊

Journal of Business Valuation and Economic Loss Analysis Economics, Econometrics and Finance-Finance

CiteScore

0.40

自引率

0.00%

发文量

期刊介绍： The Journal of Business Valuation and Economic Loss Analysis (JBVELA) is a refereed academic journal that publishes continuously throughout the year and is co-edited by Bradley Ewing and James Hoffman. The mission of the Journal of Business Valuation and Economic Loss Analysis is to improve the practice of business valuation, economic loss analysis, and risk management by helping to inform academics, practitioners, and attorneys about theoretical and practical developments in these fields.