Topic 36 Size Premium Topic 36 explores the size premium deciles as developed and reported by Ibbotson Associates.
However, Ibbotson argues that using the Beta Adjusted approach, giving a result of 17.63%, is a better approach because the company specific premium components, other than size, can be more accurately determined.
These results are robust to using non-market-based size measures, making the size premium a much stronger and more reliable effect after controlling for quality.”
Topic 36: Size Premium - Practitioner's Complete Guide to M&As: An All ...
Ibbotson developed an industry premium methodology that appraisers can now reference and cite in their appraisal reports. An IRP of zero implies that the industry has the same risk as the market. An IRP greater than zero implies that the industry is more risky than the market.
Ibbotson Industry Risk Premium Data: If you Use it, Use it with Knowledge
The U.S. Cost of Capital Inputs dataset provides size premia, risk premia, equity risk premia, risk-free rates, betas and industry risk premia that can be used to estimate U.S. cost of capital, with data going back to 1999.
There are several studies on the small cap premium, and it is not always clear on what premium to use. Normally you can include a certain premium based on your intuition, but you need ammo to back up the assumption.
Provides U.S. data that includes size premia, risk-free rates, equity risk premia, industry- and company-level betas, industry risk premia, and other industry-level data and benchmarking statistics.