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2014 | 32 Rynki finansowe i gospodarka w warunkach zmiennej koniunktury | 189--201
Tytuł artykułu

Capital Market Expectations Models - a Practical Approach to Contemporary Concepts

Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
The equity risk premium, which Author defines as the expected return difference between the broad equity index and local Treasury bonds over the 10-year-long period, is one of the most important issues in the field of contemporary finance. It influences strategic asset allocation decisions, funding ratios, the optimal manager mix and even the social insurance fundamentals debate. Even though, despite its importance, no consensus has emerged on its impact and credibility. Gone are the days when we ought to expect plans to deliver nominal returns exceeding 10 per cent threshold. Also, gone are the days when high equity allocations were deemed prudent, especially as in Poland f.i. local government made it purposedly a preferred, thanks to it's high risk-return characteristics, allocation asset for so called post-reform OFE - privately-owned pension funds which were partially and uncoditionally expropriated by state-owned pension fund ZUS in 2014. The decreased equity risk premium will also make the "search for alpha" more purposefull than in the past. The fall in the equity risk premium is good news for hedge fund managers, fixed income managers, market neutral managers, currency managers and other market participants whose returns have low correlations with the equity market. Investors shall undoubtedly look to these investment strategies as they seek to offset the high risks they suffer from the equity part of their plans. But it is undoubtedly bad news for individual investors and other asset owners who will find their wealth growing at an uncomfortably slow pace compared to expectations. (original abstract)
Twórcy
  • Uniwersytet Mikołaja Kopernika w Toruniu
Bibliografia
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Typ dokumentu
Bibliografia
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Identyfikator YADDA
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