Процена на премијата за ризик на акционерскиот капитал инвестиран во компаниите во Република Македонија

Abstract

Equity risk premium is the excess return over the risk free rate that should allow compensation for risk-averse investors for undertaking the risk of investing in stocks. Hence, more risky investments should offer greater return to be considered equivalent to less risky investments. The risk premium is one of the key parameters in corporate finance, valuation and portfolio management. Its size has implications on the discount rate and with it on series of decisions made in the financial decision-making. Hence, its precise estimation is of utmost importance. The equity risk premium has a central place in the risk - return models and is the most complex parameter to estimate. Basis for a good understanding is to distinguish between the four concepts of equity risk premium: 1) historical premium - differential historical or realized return of the stock market over the yield on government securities; 2) expected premium - expected differential return of stock market over the expected yield on government securities; 3) required premium - incremental return on the market portfolio of stocks over the risk free rate of return required by the investor to own the market portfolio; 4) implicit premium - required equity risk premium, which is determined by applying the models for prediction and assuming that market prices are correct. Although the risk premium is a concept that is forward looking, the most commonly applied approach for its estimation is the historical premium. If we believe that the past will be repeated in the future, only then this approach is valid. Large number of researchers believe that the more relevant approaches are the implicit and the expected risk premium. The aim of this doctoral thesis is to delve into the theoretical foundations of the risk premium and to apply different methodological approaches for estimating the equity risk premium in the Republic of Macedonia. In order to ensure the comprehensiveness of the issue, each of the above concepts will be specifically addressed. As a result, it will be shown that the different concepts give different estimation, and the problem here would be choosing the right ERP to be applied in theoretical research and in practice.