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Schätzung erwarteter Aktienrenditen auf Basis von Fremdkapitalmärkten
Berg, Tobias | Willershausen, Timo
Credit and Capital Markets – Kredit und Kapital, Vol. 38 (2005), Iss. 3 : pp. 435–465
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Tobias Berg, Marburg
Timo Willershausen, Marburg
References
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Abstract
Estimation of Expected Stock Returns Based on Bond Markets
To estimate stock returns, two main approaches are currently discussed in the financial literature: estimates based on past returns on the one hand and implicit determination on the basis of cash-flow prognoses on the other. However, these two approaches are subject to a number of drawbacks. The first approach suffers from a lack of reference to current market data, whereas the latter is highly sensitive to the cash-flow prognoses. This article presents an alternative way that is based on debt valuation. In this context, the investors' risk preference is extracted from current bond prices and CDS spreads using default probabilities. A structural model is applied to establish a relationship between the default probabilities and market risk premium and, thus via the CAPM, with expected equity returns. Application to real market data exemplifies the theoretical considerations and underlines conceptual advantages, which are indicated by the small variance of estimated returns.