文章基本信息

标题：The historically realised equity risk premium as a guide to future expectations in an emerging market: The case of South Africa
其他标题：The historically realised equity risk premium as a guide to future expectations in an emerging market: The case of South Africa
本地全文：下载
作者：Jesse de Beer
期刊名称：Journal of Economic and Financial Sciences
印刷版ISSN：1995-7076
电子版ISSN：2312-2803
出版年度：2008
卷号：2
期号：1
页码：89-104
DOI：10.4102/jef.v2i1.361
摘要：The concept of an equity risk premium (ERP) is fundamental to modern financial theory and central to every decision at the heart of corporate finance. Efforts to quantify ERP are well rewarded by insights into the stability and dynamics of long-term investment performance. Such efforts require the quantification of both historically realised ( ex post ) and expected future ( ex ante ) premiums. Finding an appropriate proxy for the expected ( ex ante ) ERP remains a challenging aspect. One widely used application is the use of long-term averages of observed market premiums as a proxy for expected returns. The aim of this paper is to analyse the appropriateness of the historical methodology of estimating expected ERP in the South African context. The analysis in this paper suggests that analysing past historical figures remains useful in the SA context. This is supported by the results of the statistical analysis, showing stationarity of the ERP time-series, meaning that the true mean does not change over time. This implies that the historical average mean may be used as a proxy for the long-run expected ERP. However, the well-documented problems relating to large standard errors (predictability problem) and relevance due to changing circumstances are also evident in the SA data. Thus, investors would be well advised to analyse the past and apply informed judgments as to future differences, if any, when attempting to arrive at fair forecasts.
其他摘要：The concept of an equity risk premium (ERP) is fundamental to modern financial theory and central to every decision at the heart of corporate finance. Efforts to quantify ERP are well rewarded by insights into the stability and dynamics of long-term investment performance. Such efforts require the quantification of both historically realised ( ex post ) and expected future ( ex ante ) premiums. Finding an appropriate proxy for the expected ( ex ante ) ERP remains a challenging aspect. One widely used application is the use of long-term averages of observed market premiums as a proxy for expected returns. The aim of this paper is to analyse the appropriateness of the historical methodology of estimating expected ERP in the South African context. The analysis in this paper suggests that analysing past historical figures remains useful in the SA context. This is supported by the results of the statistical analysis, showing stationarity of the ERP time-series, meaning that the true mean does not change over time. This implies that the historical average mean may be used as a proxy for the long-run expected ERP. However, the well-documented problems relating to large standard errors (predictability problem) and relevance due to changing circumstances are also evident in the SA data. Thus, investors would be well advised to analyse the past and apply informed judgments as to future differences, if any, when attempting to arrive at fair forecasts.
关键词：Equity risk premium;supply-side models;emerging markets;bond and equity market returns;expected returns
其他关键词：equity risk premium;supply-side models;emerging markets;bond and equity market returns;expected returns