UDC 336.012.23
DOI: 10.36871/2618-9976.2023.07.002
Authors
Oleg V. Daneev,
Candidate of Economic Sciences, Associate Professor, Financial University under the Government
of the Russian Federation, Moscow, Russia
Eduard S. Domrachev,
Student, M.V. Lomonosov Moscow State University, Moscow, Russia
Abstract
The value of the country risk premium is a wellknown component of the CAPM model used to determine the level of required return on assets by investors. Due to the events of recent years that have dramatically affected the global and domestic markets, the correct calculation of this premium requires, in addition to the classically accepted methods, consideration of alternatives, one of which can be a calculation using econometric modeling tools, which allows, based on the processing of quantitative data, to find relationships between various factors affecting the object of research. The authors have constructed an econometric model that reveals the dependence of the risk premium on the selected set of factors. The model was tested to fulfill the prerequisites of the GaussMarkov theorem for further practical application. In conclusion, conclusions are formulated based on the results obtained, which can be useful both for interested persons in the field of studying corporate finance and financial markets, and institutional state regulatory bodies.
Keywords
Country risk premium, CRP, Corporate finance, Econometric modeling, Goldfeld–Quandt test, Darbin–Watson test
