The Market Price of Risk: Quantifying a COVID-19 Equity Risk Premium Using High-Yield Bond Pricing

Business Valuation UpdateVol. 26 No. 7
July 2020
Mark A. Orndorff, CFA, ASA
Matthew L. Jakes, CFA, ASA
cost of capital
equity risk premium, risk analysis, cost of equity, company specific risk, coronavirus, COVID-19


The authors demonstrate how a high-yield option-adjusted spread is used when doing appraisals of private companies while considering the market volatility and economic slowdown caused by the COVID-19 pandemic.