共查询到20条相似文献，搜索用时 31 毫秒
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Laurence Booth 《实用企业财务杂志》1999,12(1):100-112
This article examines three alternative ways of estimating the expected return on the equity market in using the CAPM or some other risk premium model. The three techniques are (1) direct estimation of the average nominal equity return for use as a forecast nominal equity return; (2) estimation of the average real equity return, which can then be added to a forecast inflation rate; and (3) estimation of an average equity risk premium, which is then added to a current risk-free rate. Ibbotson and Sinquefeld's data on annual holding period returns are used to test the validity of their assumption that the equity risk premium follows a random walk and that the third of these approaches is thus the best method.
The paper reaches three major conclusions. First, each of these three techniques involves a bias of some kind. The use of average equity returns as a forecast is subject to risk-free rate and inflation rate biases, while the use of an average equity risk premium is subject to a term premium bias. As a result, only the data can tell us which approach is best. Second, from analyzing equity and bond return data and the trend in interest rates, the author concludes that the term premium bias when using average historic equity risk premium is by far the largest of the three sources of bias. Indeed, the popular practice of adding an historic average equity risk premium to the 30-year Treasury bond rate significantly overstates equity costs. Third, after examining equity rates of return back to 1871, the author concludes that the real equity return seems to follow a process that is close to a random walk and is thus the best of the three techniques to use as a naive forecast. 相似文献
The paper reaches three major conclusions. First, each of these three techniques involves a bias of some kind. The use of average equity returns as a forecast is subject to risk-free rate and inflation rate biases, while the use of an average equity risk premium is subject to a term premium bias. As a result, only the data can tell us which approach is best. Second, from analyzing equity and bond return data and the trend in interest rates, the author concludes that the term premium bias when using average historic equity risk premium is by far the largest of the three sources of bias. Indeed, the popular practice of adding an historic average equity risk premium to the 30-year Treasury bond rate significantly overstates equity costs. Third, after examining equity rates of return back to 1871, the author concludes that the real equity return seems to follow a process that is close to a random walk and is thus the best of the three techniques to use as a naive forecast. 相似文献
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21世纪国际金融与资本市场调整的特点和发展趋势 总被引：2，自引：0，他引：2
进入新世纪,国际金融市场上尽管汇率、股价、金价、利率以及相关产品价格都出现不同程度的跳跃与波动,但总的来说是有惊无险,人们忧虑的金融泡沫始终没有形成并对国际经济产生影响.本文结合当前国际金融市场的走势,分析了未来国际金融与资本市场调整的五大特点,即风险预期加大、美国主导作用继续加大、竞争不均衡加大、协调与合作趋势加大和应对意识与能力加大;提出了调整发展的四大趋势,包括美国金融优化主导趋势、欧洲金融竞争向上趋势、日本金融潜在调整趋势和发展中国家金融加强趋势,以及未来国际金融与资本市场的变化格局;并对国际金融市场发展对我国金融业的影响进行了分析. 相似文献
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Lars Oxelheim 《Journal of Business Finance & Accounting》1983,10(2):257-287
The purpose of this study was to propose and evaluate different methods for measuring and reporting exchange gains and losses on corporate monetary items. Focusing on the Swedish experience, the empirical validity of three laws/monetary relationships from economic theory were examined for currencies in the Swedish 'basket' for the period 1974–1981. The basic overall finding of the study was that a method based on the Purchasing Power Parity Theory appears generally superior to methods based on either Fisher's Open Relationship or the Interest Rate Parity Theory, and also superior to the currently favoured use of the closing rate. 相似文献
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Steve H. Hanke 《实用企业财务杂志》1999,12(1):121-126
In January 1999, President Carlos Menem suggested replacing the Argentine peso with the U.S. dollar. President Menem's announcement has sparked a debate throughout Latin America and Eastern Europe about what has been termed dollarization. That debate prompted U.S. Treasury Secretary Robert Rubin to deliver a major policy speech on alternative exchange-rate regimes on April 21, 1999 and the U.S. Senate Banking Committee to hold dollarization hearings the following day featuring Fed Chairman Alan Greenspan and Deputy Secretary of the Treasury Lawrence Summers.
This article presents a case for officially dollarizing Argentina. Dollarization is not new. Unofficial dollarization is widespread in emerging market countries; in fact, as much as 70% of the stock of U.S. dollars now circulates abroad. Twenty-eight countries and dependent territories are officially dollarized. Although official dollarization would result in Argentina losing seigniorage of about 0.22 percent of GDP, the author estimates that this cost would be more than offset by a reduction in interest rates that would increase Argentina's trend rate of GDP growth by about two percent.
After debunking the most common criticisms of dollarization, the article closes by offering recommendations about the specific form of dollarization and presenting a detailed dollarization statute for Argentina. The author proposes a competitive currency regime for Argentina, one in which all foreign money would be legal tender. 相似文献
This article presents a case for officially dollarizing Argentina. Dollarization is not new. Unofficial dollarization is widespread in emerging market countries; in fact, as much as 70% of the stock of U.S. dollars now circulates abroad. Twenty-eight countries and dependent territories are officially dollarized. Although official dollarization would result in Argentina losing seigniorage of about 0.22 percent of GDP, the author estimates that this cost would be more than offset by a reduction in interest rates that would increase Argentina's trend rate of GDP growth by about two percent.
After debunking the most common criticisms of dollarization, the article closes by offering recommendations about the specific form of dollarization and presenting a detailed dollarization statute for Argentina. The author proposes a competitive currency regime for Argentina, one in which all foreign money would be legal tender. 相似文献
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