A
Hydro-Québec
Requête R-3401-98
PRÉSENTATION LORS DE L'AUDIENCE PAR
M. PAUL ROBILLARD ET DR ROGER A. MORIN
RÉPONSE DU DR ROGER A. MORIN À L'ENGAGEMENT NUMÉRO 24
Original : 2001-05-14
HQT-9, Document 2.2
Page 1 de 3
A
Hydro-Québec
Requête R-3401-98
Engagement 24 :
Vérifier, à l'aide des données de l'Institut canadien des actuaires, le résultat
de 5,5% auquel il est fait référence à la réponse 28a) des réponses aux
questions de la coalition industrielle HQT-13, document 8, pages 44 et 45
RE-24 No updates to the Hatch-White study are available to
Dr. Morin's knowledge. The Hatch-White study, which
is one of five studies utilized by Dr. Morin in arriving at
his estimate of the market risk premium, covers the
period 1950-1987. Although it is not standard academic
practice to update someone else's research study, and
it is dangerous to do so, if results for the years 19881999 were added to the Hatch-White study, the
calculated realized risk premiums would be close to
5.5%. The actual average is 5.3%, as shown in the
accompanying spreadsheet. This calculation can be
confirmed by substituting the annual rates of return on
Canadian common stocks and long-term bonds
reported in the Canadian Institute of Actuaries (CIA)
study.
NOMINAL ANNUAL RETURNS
HATCH-WHITE 1950-1987 + CIA 1988-1999
EQUITIES
1950
1951
1952
1953
1954
1955
1956
1957
1958
1959
1960
1961
1962
1963
1964
1965
27,91
25,50
1,17
-8,28
43,61
24,11
8,81
-20,64
30,67
2,28
1,49
34,09
-7,56
14,18
24,69
5,75
Original : 2001-05-14
LONG
CANADA
BONDS
-0,11
-3,01
2,05
3,76
9,78
-0,43
-3,54
6,60
-5,82
-4,44
6,88
9,75
3,16
4,59
6,74
1,04
MARKET RISK
PREMIUM
28,02
28,51
-0,88
-12,04
33,83
24,54
12,35
-27,24
36,49
6,72
-5,39
24,34
-10,72
9,59
17,95
4,71
HQT-9, Document 2.2
Page 2 de 3
A
Hydro-Québec
Requête R-3401-98
1966
1967
1968
1969
1970
1971
1972
1973
1974
1975
1976
1977
1978
1979
1980
1981
1982
1983
1984
1985
1986
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
-5,24
20,29
23,55
-1,32
-2,65
11,27
30,16
-3,72
-27,02
22,18
11,72
15,44
29,36
50,56
28,05
-10,89
4,07
36,04
0,37
24,79
12,19
-0,28
11,08
21,37
-14,80
12,02
-1,43
32,55
-0,18
14,53
28,35
14,98
-1,58
31,70
1,72
-2,27
-0,62
-2,36
22,70
11,79
1,59
1,96
-0,98
2,74
19,65
6,19
1,47
-2,77
2,46
-2,02
45,81
9,69
16,43
26,10
17,70
0,59
10,45
16,29
3,34
24,43
13,07
22,88
-10,46
26,28
14,29
17,45
14,13
-7,50
-6,96
22,56
24,17
1,04
-25,35
-0,52
28,57
-5,68
-26,04
19,44
-7,93
9,25
27,89
53,33
25,59
-8,87
-41,74
26,35
-16,06
-1,31
-5,51
-0,87
0,63
5,08
-18,14
-12,41
-14,50
9,67
10,28
-11,75
14,06
-2,47
-15,71
39,20
AVERAGE
1950-1999
12,51
7,18
5,32
SOURCES:
HATCH & ROBINSON, INVESTMENT
MANAGEMENT IN CANADA, PRENTICE-HALL,
2nd EDITION, 1989, PAGE 394.
CDN INSTITUTE OF ACTUARIES 1999
Original : 2001-05-14
HQT-9, Document 2.2
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