KROLL-Kroll建议在计算资本成本时使用美国股票风险溢价和相应的无风险利率_2008年1月至今（英）_10页_453kb

Kroll Cost of Capital Summary - March 2025 Update

Core Content

Kroll regularly updates its equity risk premium (ERP) and risk-free rate recommendations to reflect current economic and financial market conditions. These inputs are crucial for calculating the cost of equity capital using models such as the Capital Asset Pricing Model (CAPM). The firm also updates country risk data for over 175 countries on a quarterly basis.

Key Recommendations

United States

• Recommended ERP: 5.0% as of February 28, 2025.
• Risk-free rate: The higher of a normalized U.S. risk-free rate (3.5%) or the spot 20-year U.S. Treasury yield.
• Last Change: Lowered from 5.5% to 5.0% on June 5, 2024.

Despite the U.S. economy's resilience in 2023 and 2024, with real GDP growth of 2.8% in 2024, the ERP may increase in 2025 due to several risks:

• Trade Policy Uncertainty: President Trump's potential tariffs on U.S. trading partners could disrupt global trade, increase inflation, and complicate the Fed's interest rate decisions.
• Fiscal Policy Risks: The potential extension of the Tax Cut and Job Act (TCJA) could lead to significant budget deficits and long-term fiscal challenges.
• Geopolitical Risks: Shifts in U.S. foreign policy, including possible withdrawal from NATO and reduced support for Ukraine, may increase geopolitical tensions and market volatility.

The VIX index, a measure of market volatility, has returned to its long-term average, while credit spreads have remained historically low, suggesting investor confidence. However, recent data indicates rising uncertainty, which may lead to a higher ERP.

Eurozone (From a German Investor Perspective)

• Recommended ERP Range: 5.5% to 6.0%, with a preference for 5.5% when developing EUR-denominated discount rates.
• Risk-free rate: The higher of a normalized German risk-free rate (2.5%) or the spot 15-year German government bond yield.

The Eurozone experienced near-stagnation in 2023 and a weak recovery in 2024, with Germany contracting in both years. The new U.S. administration's trade policies, including tariffs on EU steel and aluminum, are increasing uncertainty. The ECB has been cutting rates, but inflation remains a concern, with the HICP rising to 2.5% in January 2025. European equity markets have shown strength in early 2025, particularly in defense stocks, but volatility could increase if trade and geopolitical tensions persist.

United Kingdom

• ERP Status: Kroll does not currently publish an official ERP recommendation for the U.K., though historical ERP data is available.
• Economic Impact: The U.K. has been negatively affected by the Russia-Ukraine war and Brexit. The Bank of England has been cutting rates since August 2024, but inflation remains above target.
• Political Uncertainty: The Labour Party's election victory in July 2024 has led to increased government borrowing and spending, which may impact long-term bond yields.

Major Potential Uncertainties for 2025

1. U.S. Trade Policy Uncertainty

   • Threatened tariffs could disrupt global trade and lead to higher inflation.
   • Market volatility has increased, with U.S. equity and bond markets experiencing significant fluctuations.

2. Fiscal Policy and Budget Deficits

   • Extension of the TCJA could lead to higher budget deficits.
   • Increased government spending and tax cuts may impact long-term interest rates and the U.S. fiscal position.

3. Geopolitical Risks

   • U.S. withdrawal from NATO and reduced support for Ukraine could lead to increased tensions.
   • Escalation of Middle East conflicts and other international disputes may further destabilize markets.

Market Outlook

• The U.S. economy remains resilient, but risks of stagflation or recession are rising due to trade and fiscal uncertainties.
• The Eurozone is expected to see continued economic recovery, aided by ECB rate cuts and increased defense spending.
• The U.K. faces unique challenges, including Brexit-related issues and inflationary pressures, with a weak pound supporting corporate earnings.

Valuation Considerations

• Spot Yield Volatility: Investors should be aware of the volatility in long-term government bond yields.
• Use of Moving Averages: Valuation professionals may consider using weekly or monthly averages of spot yields to reduce the impact of volatility on their analyses.
• Country Risk Adjustments: Different European economies may have divergent risk profiles, and ERP selection should reflect these differences.

Conclusion

The current ERP and risk-free rate recommendations reflect a cautiously optimistic outlook for the U.S. and Eurozone, but significant risks remain. These risks, particularly from trade policy, fiscal changes, and geopolitical shifts, may lead to a re-evaluation of ERP in the near future. The U.K. remains a unique case with its own set of challenges and uncertainties.