รบกวน ขอลิ้งที่ดูค่า Risk Premium ทีครับ

[podrbu]

รบกวน ขอลิ้งที่ดูค่า Risk Premium ของตลาดหุ้นไทย ล่าสุดทีครับ พอดีในหนังสือของ K สุมาอี้ มันเข้าไม่ได้อะครับ พยายามหามาสองวันแล้ว ไม่เจอครับ

ใครรู้วานบอกทีครับ

[miracle]

Return Market หาได้จากค่า Set index วันนี้ลบวันก่อนหน้า ทั้งหมดหารได้ Set index วันก่อนหน้า คูีณด้วย 100

ส่วน Risk Free หาจาก ตํ๋วเงินคลังที่อายุน้อยที่สุดว่าให้ผลตอบแทนเท่าไร

เอาัตัวแรกลบด้วยตัวที่สอง ไ้ด้ค่า Risk Premium

[podrbu]

ขอบคุณมากครับ

ในหนังสือน่าจะบอกวิธีคิดด้วย :lol:  เดี๋ยวลองไปคิดดูครับ

[Anti-Aircraft]

เพิ่งรู้ที่มา ขอบคุณคุณ miracle มากครับ ขอถามเพิ่มหน่อย

คือถ้า Risk Premium คิดแบบนี้แปลว่าค่ามันจะเปลี่ยนทุกวันเหรอครับ แล้วจะเอามาใช้ยังไงเนี่ย

[นพพร]

Risk free rate
http://www.thaibma.or.th/yield-curve/YieldTTM.aspx

Risk premium
http://pages.stern.nyu.edu/~adamodar/Ne ... yprem.html

[นพพร]

Country ,Region, Long-Term Rating, Adj. Default Spread, Total Risk Premium, Country Risk  
Thailand Asia Baa1  160 6.90% 2.40%

[podrbu]

ขอบคุณ มากๆครับ

[thaloengsak]

ขออนุญาตก๊อปมาทั้งหมด จะได้เปรียบเทียบกันง่ายๆครับ
Country Default Spreads and Risk Premiums
Last updated: January 2010

This table summarizes the latest bond ratings and appropriate default spreads for different countries. While you can use these numbers as rough estimates of country risk premiums, you may want to modify the premia to reflect the additonal risk of equity markets. To estimate the long term country risk premium, I start with the country rating (from Moody's: www.moodys.com) and estimate the default spread for that rating (based upon traded country bonds) over a default free government bond rate. This becomes a measure of the added country risk premium for that country. I add this default spread to the historical risk premium for a mature equity market (estimated from US historical data) to estimate the total risk premium. In the short term especially, the equity country risk premium is likely to be greater than the country's default spread. You can estimate an adjusted country risk premium by multiplying the default spread by the relative equity market volatility for that market (Std dev in country equity market/Std dev in country bond). I have used the emerging market average of 1.5 (equity markets are about 1.5 times more volatile than bond markets) to estimate country risk premium. I have added this to the historical premium for mature markets of about 4.5% to get the total risk premium.

Country Region Long-Term Rating Adj. Default Spread Total Risk Premium Country Risk Premium
Albania Eastern Europe & Russia B1  450 11.25% 6.75%
Argentina Central and South America B3  650 14.25% 9.75%
Armenia Eastern Europe & Russia Ba2  300 9.00% 4.50%
Australia Australia & New Zealand Aaa  0 4.50% 0.00%
Austria [1] Western Europe Aaa  0 4.50% 0.00%
Azerbaijan Eastern Europe & Russia Ba1  250 8.25% 3.75%
Bahamas Caribbean A3  120 6.30% 1.80%
Bahrain Middle East A2  105 6.08% 1.58%
Barbados Caribbean Baa2  180 7.20% 2.70%
Belarus Eastern Europe & Russia B1  450 11.25% 6.75%
Belgium [1] Western Europe Aa1  30 4.95% 0.45%
Belize Central and South America B3  650 14.25% 9.75%
Bermuda Caribbean Aa2  60 5.40% 0.90%
Bolivia Central and South America B2  550 12.75% 8.25%
Bosnia and Herzegovina Eastern Europe & Russia B2  550 12.75% 8.25%
Botswana Africa A2  105 6.08% 1.58%
Brazil Central and South America Baa3  200 7.50% 3.00%
Bulgaria Eastern Europe & Russia Baa3  200 7.50% 3.00%
Cambodia Asia B2  550 12.75% 8.25%
Canada North America Aaa  0 4.50% 0.00%
Cayman Islands Caribbean Aa3  75 5.63% 1.13%
Chile Central and South America A1  90 5.85% 1.35%
China Asia A1  90 5.85% 1.35%
Colombia Central and South America Baa3  200 7.50% 3.00%
Costa Rica Central and South America Ba1  250 8.25% 3.75%
Croatia Eastern Europe & Russia Baa3  200 7.50% 3.00%
Cuba Caribbean Caa1  750 15.75% 11.25%
Cyprus [1] Western Europe Aa3  75 5.63% 1.13%
Czech Republic Eastern Europe & Russia A1  90 5.85% 1.35%
Denmark Western Europe Aaa  0 4.50% 0.00%
Dominican Republic Caribbean B2  550 12.75% 8.25%
Ecuador Central and South America Caa3 1000 19.50% 15.00%
Egypt Africa Ba1  250 8.25% 3.75%
El Salvador Central and South America WR 1000 19.50% 15.00%
Estonia Eastern Europe & Russia A1  90 5.85% 1.35%
Fiji Islands Asia B1  450 11.25% 6.75%
Finland [1] Western Europe Aaa  0 4.50% 0.00%
France [1] Western Europe Aaa  0 4.50% 0.00%
Germany [1] Western Europe Aaa  0 4.50% 0.00%
Greece [1] Western Europe A2  105 6.08% 1.58%
Guatemala Central and South America Ba1  250 8.25% 3.75%
Honduras Central and South America B2  550 12.75% 8.25%
Hong Kong Asia Aa2  60 5.40% 0.90%
Hungary Eastern Europe & Russia Baa1  160 6.90% 2.40%
Iceland Western Europe Baa3  200 7.50% 3.00%
India Asia Ba2  300 9.00% 4.50%
Indonesia Asia Ba2  300 9.00% 4.50%
Ireland [1] Western Europe Aa1  30 4.95% 0.45%
Isle of Man Financial Center Aaa  0 4.50% 0.00%
Israel Middle East A1  90 5.85% 1.35%
Italy [1] Western Europe Aa2  60 5.40% 0.90%
Jamaica Caribbean Caa1 750 15.75% 11.25%
Japan Asia Aa2  60 5.40% 0.90%
Jordan Middle East Baa3  200 7.50% 3.00%
Kazakhstan Eastern Europe & Russia Baa2  180 7.20% 2.70%
Korea Asia A2  105 6.08% 1.58%
Kuwait Middle East Aa2  60 5.40% 0.90%
Latvia Eastern Europe & Russia Baa3  200 7.50% 3.00%
Lebanon Middle East B2  550 12.75% 8.25%
Lithuania Eastern Europe & Russia Baa1  160 6.90% 2.40%
Luxembourg [1] Financial Center Aaa  0 4.50% 0.00%
Macao Asia Aa3  75 5.63% 1.13%
Malaysia Asia A3  120 6.30% 1.80%
Malta [1] Western Europe A1  90 5.85% 1.35%
Mauritius Africa Baa2  180 7.20% 2.70%
Mexico Central and South America Baa1  160 6.90% 2.40%
Moldova Eastern Europe & Russia Caa1 750 15.75% 11.25%
Mongolia Asia B1  450 11.25% 6.75%
Montenegro Eastern Europe & Russia Ba3  350 9.75% 5.25%
Morocco Africa Ba1  250 8.25% 3.75%
Netherlands [1] Western Europe Aaa  0 4.50% 0.00%
New Zealand Australia & New Zealand Aaa  0 4.50% 0.00%
Nicaragua Central and South America B3  650 14.25% 9.75%
Norway Western Europe Aaa  0 4.50% 0.00%
Oman Middle East A2  105 6.08% 1.58%
Pakistan Asia B3  650 14.25% 9.75%
Panama Central and South America Ba1  250 8.25% 3.75%
Papua New Guinea Asia B1  450 11.25% 6.75%
Paraguay Central and South America B3  650 14.25% 9.75%
Peru Central and South America Baa3  200 7.50% 3.00%
Philippines Asia Ba3  350 9.75% 5.25%
Poland Eastern Europe & Russia A2  105 6.08% 1.58%
Portugal [1] Western Europe Aa2  60 5.40% 0.90%
Qatar Middle East Aa2  60 5.40% 0.90%
Romania Eastern Europe & Russia Baa3  200 7.50% 3.00%
Russia Eastern Europe & Russia Baa1  160 6.90% 2.40%
Saudi Arabia Middle East A1  90 5.85% 1.35%
Singapore Asia Aaa  0 4.50% 0.00%
Slovakia Eastern Europe & Russia A1  90 5.85% 1.35%
Slovenia [1] Eastern Europe & Russia Aa2  60 5.40% 0.90%
South Africa Africa A3  120 6.30% 1.80%
Spain [1] Western Europe Aaa  0 4.50% 0.00%
St. Vincent & the Grenadines Caribbean B1  450 11.25% 6.75%
Suriname Caribbean Ba3  350 9.75% 5.25%
Sweden Western Europe Aaa  0 4.50% 0.00%
Switzerland Western Europe Aaa  0 4.50% 0.00%
Taiwan Asia Aa3  75 5.63% 1.13%
Thailand Asia Baa1  160 6.90% 2.40%
Trinidad and Tobago Caribbean Baa1  160 6.90% 2.40%
Tunisia Africa Baa2  180 7.20% 2.70%
Turkey Asia Ba3  350 9.75% 5.25%
Turkmenistan Eastern Europe & Russia B2  550 12.75% 8.25%
Ukraine Eastern Europe & Russia B2  550 12.75% 8.25%
United Arab Emirates Middle East Aa2  60 5.40% 0.90%
United Kingdom Western Europe Aaa  0 4.50% 0.00%
United States of America North America Aaa  0 4.50% 0.00%
Uruguay Central and South America Ba3  350 9.75% 5.25%
Venezuela Central and South America B1  450 11.25% 6.75%
Vietnam Asia Ba3  350 9.75% 5.25%



Last updated: January 2010

Aswath Damodaran