KROLL-Kroll建议在计算资本成本时使用欧元区股票风险溢价和相应的无风险利率_2019年12月至今（英）-2025_10页_453kb

Kroll Cost of Capital Summary - March 2025 Update

Core Content

Kroll regularly updates its cost of capital recommendations, including the equity risk premium (ERP) and risk-free rates, based on global economic and financial market conditions. These inputs are critical for calculating the cost of equity capital using models such as the Capital Asset Pricing Model (CAPM). Country risk data is also updated quarterly for 175+ countries.

Key ERP and Risk-Free Rate Recommendations

• U.S. ERP: Reaffirmed at 5.0% as of February 28, 2025, but could increase due to emerging uncertainties.
• Eurozone ERP: Remains in the range of 5.5% to 6.0%, with a 5.5% recommendation for EUR-denominated discount rates as of February 5, 2024.
• U.K. ERP: Not officially published, but historical data is available. The U.K. is more aligned with European risks than U.S. risks.

Main Uncertainties and Risks

1. U.S. Trade Policy Uncertainty

• President Trump has threatened to impose tariffs up to 200% on U.S. trading partners, creating supply chain disruptions and potential retaliation.
• This could slow GDP growth, increase inflation, and raise interest rates, making it harder for consumers to spend and businesses to invest.
• Consumer confidence has dropped to its lowest level since November 2023, signaling potential economic stress.

2. Fiscal Policy and Budget Deficits

• The extension of the Tax Cut and Job Act (TCJA) could increase the U.S. budget deficit by $4.9 trillion over 10 years.
• The GAO warns that the current fiscal path is unsustainable, with public debt expected to reach 106% of GDP in 2027 and 200% of GDP by 2047.
• The new administration plans pro-growth policies (deregulation, lower corporate taxes, energy production), but also restrictive immigration policies that could hinder labor growth and increase inflation.

3. Geopolitical Risks

• The U.S. administration's potential withdrawal from NATO and reduced support for Ukraine are shifting EU strategic direction.
• The EU's "ReArm Europe" plan aims to boost defense spending and relax budget deficit rules to fund it.
• Middle East conflicts and U.S. foreign policy shifts (e.g., rhetoric on Greenland and Canada) are increasing geopolitical volatility.
• These risks are already affecting market volatility, with U.S. equity and bond markets experiencing significant fluctuations.

Economic and Market Indicators

U.S. Economy

• Real GDP growth in 2024 was 2.8%, better than 2022 and in line with 2023.
• Inflation has fallen from 9.1% (June 2022) to 2.9% (December 2024), but recent spikes suggest inflationary pressures may return.
• Unemployment remains low (4.0–4.2%), near the natural rate of 4.3%, indicating continued economic expansion.
• Credit spreads have narrowed, suggesting lower distress risk in financial markets, but could widen if economic uncertainty persists.

Eurozone Economy

• Real GDP growth in 2023 was 0.4%, and 0.9% in 2024, with Germany contracting in both years.
• The ECB has cut rates by 150 b.p. since June 2024, with deposit facility rate at 3.0% as of December 2024.
• Inflation has reaccelerated to 2.5% in January 2025, but is still below target.
• European equity markets have outperformed the U.S. in 2025, with defense stocks leading the way.
• VSTOXX index (volatility index for Europe) has approached its historical average of 23, but spikes are possible if uncertainty continues.

U.K. Economy

• Real GDP growth in 2023 was 0.4%, and 0.9% in 2024, with weak performance compared to other G7 countries.
• Inflation in the U.K. rose to 3.0% in January 2025, from 2.5% in December 2024, after hitting a cycle low of 1.7% in September.
• The FTSE-100 has reached new highs, driven by strong corporate earnings and expectations of rate cuts, while the FTSE-250 has seen negative performance.
• Brexit-related challenges and political instability continue to affect the U.K. economy.

Impact on ERP and Discount Rates

• The combination of risks could lead to a "risk-off" sentiment, increasing ERP for certain regions.
• U.S. ERP may rise if trade wars or fiscal policies escalate, leading to higher inflation and recessionary fears.
• Eurozone ERP is reaffirmed at 5.5%, but country-specific adjustments may be necessary for non-AAA rated nations.
• U.K. ERP is not officially recommended, but valuation professionals should consider divergence between European economies.

Recommendations for Valuation Professionals

• Use moving averages of spot yields to mitigate volatility in government bond markets.
• Monitor economic and geopolitical developments closely, especially those related to trade policy, fiscal changes, and international relations.
• Consider country-specific risk adjustments when applying ERP to non-AAA rated countries in the Eurozone.
• Be prepared for potential ERP increases in the U.S. and geopolitical volatility affecting global financial markets.

Conclusion

The current ERP and risk-free rate recommendations are based on stable conditions, but rising uncertainties in trade, fiscal, and geopolitical areas could alter the outlook. Valuation professionals should stay vigilant and adjust models accordingly to reflect changing market dynamics.