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Summary of the Singer-Terhaar approach:

December 7, 2017
  • Estimate the perfectly integrated and the completely segmented risk premiums for the asset class using ICAPM
  • Add the applicable illiquidity premium
  • Estimate the degree to which the asset market is perfectly integrated
  • Take a weighted average of the perfectly integrated and the completely segmented risk premiums using the estimate of market integration from the prior step.

From → Asset Valuation

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