Aug 2026· Economic Policy· 0 citations· 18 references
Abstract
This paper examines the historical and projected equity risk premium (ERP) for the Russian stock market in view of the narrowing investment horizons of market participants and the increasing reliance on domestic resources. The study aims to substantiate the long-term advantages of equity investments. The methodology employs a comprehensive approach, including ERP calculation based on three risk-free rate proxies, the adaptation of expected return decomposition models, and formalized benchmarking via artificial intelligence (AI) models. The findings reveal that over 10-year horizons, Russian equities maintain a resilient historical advantage over bonds. The forecast for the 2025–2032 period points to an expected risk premium of approximately 7% per annum, driven primarily by dividend yields and the potential for valuation recovery from currently distressed levels (5.5 x CAPE). AI-based analysis confirms a consensus forecast for a positive premium within the 5.9–6.7% range. The analysis concludes that current market undervaluation is largely driven by temporary cyclical factors. Extending the investment horizon to 10 years serves as a strategic tool to mitigate interest rate volatility. To foster a framework grounded in fundamentals for investment analysis and forecasting, it is essential to implement regular CAPE ratio calculations and integrate long-term macroeconomic forecasts into institutional investment strategies. These measures are intended to facilitate the transformation of domestic savings into stable sources of long-term capital and promote the capitalization growth of the Russian stock market.
This study investigates the dynamic, non-linear relationship between private sector credit expansion and operational risk within financial institutions. Utilizing 2025 monthly loan data, the research proposes an integrative quantitative framework coupling Standard Score (Z-score) Probability Density Functions with the Weighted Expected Present Value (EPVw) model, incorporating a 0.995644 discount factor. Empirical results reveal a critical decoupling between credit volume and risk magnitude. While the loan portfolio expanded continuously from 6,742 billion in January to a peak of 7,318 billion in December, calculated risk (EPVw) followed a parabolic, bell-shaped distribution. Maximum risk exposure converged mid-year (June–August), driven by the highest statistical probability density as loan values hovered around the annual mean (μ = 6,997 billion). Conversely, despite peak volumes in December, year-end capital risk collapsed to its lowest point (377 billion) due to an extreme right-tail distribution shift (Z = 2.02) minimizing probability density weights (0.051). These findings challenge traditional linear risk assumptions, proving volatility concentrates within normal baselines rather than volume peaks. This study provides a vital framework for asset-liability management, ensuring capital reserves are optimally calibrated against market extremes, aligned with Clean Surplus Relation principles.
Ni Nyoman Aryaningsih, I. M. Ariana, Putu Rany Wedasuari· Journal of Sustainable Devel...· 0 citations
This paper looks at the suitability of CAPM in Indian stock market by evaluating relationship between systematic risk and anticipated returns of the chosen stocks that are listed on Bombay Stock Exchange (BSE). Study uses a sample of leading 30 companies in the index of BSE Sensex among 2019-2025 to analyze the association between beta, expected returns, and market risk premium. There is, however, also evidence that there are anomalies, including the effects of size and value that undermine the assumptions of the model. The findings are relevant to the risk-return relationship in the emerging markets, such as India, and give investors, portfolio managers and policy makers’ information to evaluate equity investments. The study concludes that CAPM holds moderately well in explaining stock returns, with a significant positive relationship between beta and expected return.
Jivesh Nandan, Srijan Anant, Sumit Kumar Singh et al.· International journal of com...· 0 citations
Immunization is a strategy that matches the duration of assets and liabilities to minimize the impact of interest rate changes. This can be achieved using Redington’s conditions. This paper addresses a gap in the existing literature: while prior immunization studies typically evaluate performance under stable market conditions or rely on real bond portfolios that confound interest rate risk with credit and liquidity risk, this study isolates pure interest-rate risk by constructing a synthetic default-free bond and liability portfolio priced on historical U.S. Treasury par yield curve data spanning January 2006 to December 2010 — the pre-crisis, crisis, and recovery phases of the GFC. Applying Redington's immunization conditions to this synthetic portfolio, the study finds that the present value of assets equals the present value of liabilities (Test 1: passed) and that asset convexity exceeds liability convexity (Test 3: passed); however, the volatility of the asset cashflows (4.50) diverges substantially from that of the liability cashflows (2.64), so the volatility-matching condition fails (Test 2: failed). Consequently, the portfolio is only partially immunized: it remains exposed to small parallel shifts in the yield curve despite its favourable convexity position for larger shifts. The findings indicate that duration-based immunization, even when correctly specified for present-value matching, requires explicit volatility matching to pro-vide reliable protection during periods of extreme interest rate volatility such as the 2008 GFC, and that partial immunization can still leave institutional investors exposed to material losses.
S. Padma Annakamu· Scholar Journal of Humanitie...· 0 citations
This paper examines the institution of investment value, defined as the value of an asset given specific investment objectives. The author argues that the traditional valuation benchmark – market value – exhibits insufficient reliability. Driven by systemic crises in both global and Russian economies, market value is progressively losing its evaluative capacity. These crises destabilize market mechanisms, primarily through capital market turbulence, excessive regulatory rigidity in credit, fiscal, and monetary policies, adverse commodity market trends, and intensifying competition for unallocated investment capital. Conversely, methodologies used to determine investment value demonstrate high verifiability and robust predictive power over medium- and long-term horizons, particularly within the income approach, while effectively internalizing the risk component in valuation. To refine investment-oriented valuations, the baseline calculation is typically augmented with a real options model. This integration embeds the autonomy of future managerial initiatives within the initial investment framework into the present value structure. The paper proposes an original classification of the factor structure of investment value and systematizes the analytical tasks addressable through this valuation type. To illustrate these arguments, a conceptual framework applying the income approach to determine investment value is presented. The study concludes that contemporary domestic valuation practices should prioritize investment value as an economic category. Unlike market value, investment value is insulated from the volatility of shifting market participant preferences. Furthermore, investment value aligns optimally with the structural realities of the domestic economy by: a) anchoring the analysis to the interests of the potential investor while reconciling them with the owner's position; b) capturing the dynamics of cash flows generated by the asset over a specified forecast period; and c) internalizing risk factors that influence income generation and, consequently, asset value.
E. N. Gunina· EKONOMIKA I UPRAVLENIE: PROB...· 0 citations
The article examines the features of investment portfolio management under crisis shocks associated with the COVID-19 pandemic, geopolitical instability in 2022-2023, and the declining reliability of traditional diversification models. The relevance of reconsidering the 60/40 portfolio is substantiated, as in 2022 it demonstrated a significant deterioration in its protective properties. The research methodology is based on a comparative analysis of passive, active, defensive, and dynamic portfolio management models, as well as a computational testing of asset structures using Russian market data from the acute phase of the 2022 crisis. The study evaluates returns, final portfolio value, drawdown, the role of gold and the currency component, rebalancing frequency, and the economic effect relative to the baseline 60/40 model. It is established that crisis-oriented management is primarily aimed at reducing losses, preserving liquidity, and creating conditions for capital recovery. The conclusion is made that it is advisable to combine models, taking into account the type of crisis and investor behavior.
D. Ivanov· EKONOMIKA I UPRAVLENIE: PROB...· 0 citations
This study examines and develops an enhanced Capital Asset Pricing Model (CAPM) based on anomaly factors. The proposed model aims to analyze the relationship between financial risk and the expected rate of return on assets in the capital market. The research is applied and quantitative in nature, adopting a correlational and ex post facto approach.The statistical population consists of all companies listed on the Tehran Stock Exchange. Using a systematic elimination method, 144 firms were selected as the statistical sample over the period 2012–2022 (1391–1401 in the Iranian calendar). The data are panel (pooled) data, and the F-Limer (Chow) test and Hausman test were employed to determine the appropriate estimation method. The models were estimated using the Ordinary Least Squares (OLS) method. The results indicate that the traditional CAPM and the Fama–French model have limited explanatory power in explaining variations in excess stock returns. In contrast, the current ratio and cash flow were identified as influential factors that enhance the predictive capability of the model. Portfolio formation results show that a strategy of buying winner portfolios and selling loser portfolios based on cash flow and momentum criteria led to negative excess returns, whereas portfolios formed on the basis of the current ratio and cash balance generated positive and statistically significant returns. These portfolios also increased the adjusted coefficient of determination and improved the explanatory power of the models. The findings suggest that the enhanced CAPM can be employed without losing key information relative to the Fama–French model, while providing improved explanatory and predictive performance.
Seyed Saeid Sefidgaran, Mohamad Ali Aghaie, Meysam Arabzadeh et al.· Economics and Financial Poli...· 0 citations