访问日期： 24 十月, 2018
This dataset 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 additional risk of equity markets. To estimate the long term country equity risk premium, I start with a default spread, which I obtain in one of two ways:
(1) I use the local currency sovereign 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. For countries without a Moody's rating but with an S&P rating, I use the Moody's equivalent of the S&P rating. To get the default spreads by sovereign rating, I use the CDS spreads and compute the average CDS spread by rating. Using that number as a basis, I extrapolate for those ratings for which I have no CDS spreads.
(2) I start with the CDS spread for the country, if one is available and subtract out the US CDS spread, since my mature market premium is derived from the US market. That difference becomes the country spread. For the few countries that have CDS spreads that are lower than the US, I will get a negative number.
You can add just this default spread to the mature market premium to arrive at the total equity risk premium. I add an additional step. 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 1.12 (estimated by comparing a emerging market equity index to an emerging market government/public bond index) to estimate country risk premium.I have added this to my estimated risk premium of 5.08% for mature markets (obtained by looking at the implied premium for the S&P 500) to get the total risk premium.
Damodaran, Aswath, Equity Risk Premiums (ERP): Determinants, Estimation and Implications – The 2016 Edition (March 5, 2016). Available at SSRN: https://ssrn.com/abstract=2742186 or http://dx.doi.org/10.2139/ssrn.2742186