Eigenkapitalrisikoprämie

Eigenkapitalrisikoprämie, also known as the equity risk premium (ERP), represents the excess return that investors expect to receive for investing in equities over a risk-free rate of return. It is a fundamental concept in finance and asset pricing, reflecting the compensation investors demand for bearing the systematic risk associated with stock market investments. The risk-free rate is typically proxied by the yield on government bonds of a solvent country.

The ERP is not directly observable and is usually estimated using historical data or forward-looking models. Historically, the ERP has been positive, indicating that stocks have, on average, outperformed risk-free assets over long periods. However, its magnitude can vary significantly depending on economic conditions, market sentiment, and perceived future risks. A higher ERP suggests that investors require greater compensation for equity risk, potentially leading to lower stock valuations. Conversely, a lower ERP implies investors are more willing to accept lower returns for equity investments.

Estimates of the ERP are crucial for various financial applications, including valuation of companies, portfolio management, and cost of capital calculations. Different methodologies exist for estimating the ERP, such as the historical approach, which analyzes past returns of the stock market relative to risk-free assets, and the implied approach, which derives the ERP from current market prices and expected future cash flows. The choice of methodology and the specific data used can lead to different ERP estimates, highlighting its subjective nature.