can be informative in setting the reliability of equity beta estimates point estimate? used by the AER be improved? Levering Should equity beta estimates be Medium re-levered to the 60% gearing of the BEE? (DH: I thought they were) (GC: that is standard, however AER has elsewhere compared betas without undertaking this) Overseas data What is the appropriate role for Medium the evidence on equity of overseas energy network businesses? Other Infrastructure What is the appropriate role for Medium data the evidence from domestic infrastructure businesses? Other approaches (Supposed) low Beta How should low-beta bias High bias associated with the SL-CAPM, and evidence from the Black CAPM, be taken into account when implementing the foundation model approach? Assuming there is one Time variation Does the equity beta move over Propose discuss at a joint time and if so over what period? Experts Session? MRP = Market Risk Is there an inverse relationship Propose discuss at a joint Premium between MRP and risk-free rate? Experts Session? (note: personal view that this is only being included because the AER needs to be able to respond to the proposition) Historic Excess returns What data should be considered? What role should the geometric Medium mean of historical excess returns
can be informative in setting the point estimate? reliability of equity beta estimates used by the AER be improved? Levering Should equity beta estimates be re-levered to the 60% gearing of the BEE? (DH: I thought they were) (GC: that is standard, however AER has elsewhere compared betas without undertaking this) Medium Overseas data What is the appropriate role for the evidence on equity of overseas energy network businesses? Medium Other Infrastructure data What is the appropriate role for the evidence from domestic infrastructure businesses? Medium Other approaches (Supposed) low Beta bias How should low-beta bias associated with the SL-CAPM, and evidence from the Black CAPM, be taken into account when implementing the foundation model approach? Assuming there is one High Time variation Does the equity beta move over time and if so over what period? Propose discuss at a joint Experts Session? MRP = Market Risk Premium Is there an inverse relationship between MRP and risk-free rate? (note: personal view that this is only being included because the AER needs to be able to respond to the proposition) Propose discuss at a joint Experts Session? Historic Excess returns What data should be considered? What role should the geometric mean of historical excess returns Medium
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