tag:blogger.com,1999:blog-6624979079617922504.post8639650580613538937..comments2023-09-30T10:20:30.142+01:00Comments on Prof Bob's Blog: Estimating the Cost of Equity – a case study in triangulationProf Bobhttp://www.blogger.com/profile/09675668283116627528noreply@blogger.comBlogger6125tag:blogger.com,1999:blog-6624979079617922504.post-16855857834039568592016-02-15T19:10:50.440+00:002016-02-15T19:10:50.440+00:00Hi Prof Bob
I attended a short seminar of yours t...Hi Prof Bob<br /><br />I attended a short seminar of yours through PMI in September 2015.<br /><br />I working on a weekly essay for my MSc in Project Management and would like to reference you triagulation of CoC. Do you have any paper or books I can access through my institutions Eselvier etc account?TBhttps://www.blogger.com/profile/02468924557216380391noreply@blogger.comtag:blogger.com,1999:blog-6624979079617922504.post-60540401110183152832015-10-28T05:54:48.263+00:002015-10-28T05:54:48.263+00:00Prof. Bob,
Thank you for your post on cost of equ...Prof. Bob,<br /><br />Thank you for your post on cost of equity calculation. I was wondering how what time frame you use to calculate skew ratios? Also, I assume that the skew ratio can be greater than 1 but some papers call approximate that as the correlation between the index and the stock. If you have an example, that would be awesome. If you can also provide an example of calculating option implied beta, that would be very helpful also. Thank you again for the post as it cleared a few things up for me as far as MCPM is concerned. <br /><br />Sincerely,<br /><br />AnishUnknownhttps://www.blogger.com/profile/18200349274819524345noreply@blogger.comtag:blogger.com,1999:blog-6624979079617922504.post-18463100511273055222013-06-25T17:24:59.892+01:002013-06-25T17:24:59.892+01:00An interesting comment. I do not think McNulty et...An interesting comment. I do not think McNulty et al provided a full and thorough justification for their method. I also think there are flaws with their technique which I and other researchers are looking at. A good starting point in resolving this issue is to consider the relationship between the OPM and the CAPM (Fischer Black showed how to derive the latter from the former and Cessari and D-Adda show in A Simple Approach to CAPM, Option Pricing and Asset Valuation how both models are reducible to a commen intertemporal general equilibrium valuation model). <br /><br />At an intuitive level, and leaving theory aside, I think the difference is this: CAPM is an expectations model of course. What the McNulty model does is to reveal the return implied by real prices in competitive markets: the actual bond yield, the current share price and the current value of a put option with the same TTM is the outstanding bond. The actual share price is being formed in a market where non-market risk is not priced so that is being captured by the McNulty model in determining the premium over the bond yield that an investor is willing to pay. Have a think on that and see if it makes sense.Prof Bobhttps://www.blogger.com/profile/09675668283116627528noreply@blogger.comtag:blogger.com,1999:blog-6624979079617922504.post-18942975325424092472013-06-19T16:09:10.946+01:002013-06-19T16:09:10.946+01:00Dear Mr. Bob
Reading the original article from M...Dear Mr. Bob <br /><br />Reading the original article from Mc. Nulty et. al., we observe that their view of risk differs significantly from the Sharpe model (CAPM). They claim that investors are not diversified and hence idiosyncratic risk has to be priced or equivalently, that the management of a company has to take into account all the risks in ongoing investments if not accounted otherwise. Due to the portfolio selection approach in the CAPM, only systematic risk has to be priced there. Hence, it is purely accidentally that both methods (MCPM or CAPM) yield similar results. I would appreciate if you could make it clearer in your post. <br />ThanksAnonymoushttps://www.blogger.com/profile/08157433834370495421noreply@blogger.comtag:blogger.com,1999:blog-6624979079617922504.post-39063595053651010622013-06-19T16:07:53.847+01:002013-06-19T16:07:53.847+01:00This comment has been removed by the author.Anonymoushttps://www.blogger.com/profile/08157433834370495421noreply@blogger.comtag:blogger.com,1999:blog-6624979079617922504.post-5082056004554571392013-06-19T15:57:28.468+01:002013-06-19T15:57:28.468+01:00This comment has been removed by the author.Anonymoushttps://www.blogger.com/profile/08157433834370495421noreply@blogger.com