Szacunek premii za ryzyko dla Polski - próba empirycznej weryfikacji premii ex post i ex ante

Abstract

In recent years the sizes of the premium has been the premier question for theorists and practitioners alike. The equity risk premium is the difference between the rate of return on the stock market and the risk-free rate. This paper provides returns data on equity, government bonds and treasury bills for 1996–2010. The mean historic nominal premium against bonds during 1996– 2010 was 5,7 per cent and 6,6 per cent against treasury bills. The ex ante premium implied by the dividend discount model was between 2,9 per cent and 8,6 per cent. The observed premium was about one percentage point higher than the expected equity premium.