The Worldwide Equity Premium: A Smaller Puzzle

Pages: 467 - 514
Published: Apr 7, 2006
Abstract
We use a new database of long-run stock, bond, bill, inflation, and currency returns to estimate the equity risk premium for 17 countries and a world index over a 106-year interval. Taking U.S. Treasury bills (government bonds) as the risk-free asset, the annualised equity premium for the world index was 4.7% (4.0%). We report the historical equity premium for each market in local currency and US dollars, and decompose the premium into dividend...
Paper Details
Title
The Worldwide Equity Premium: A Smaller Puzzle
DOI
Published Date
Apr 7, 2006
Journal
Pages
467 - 514
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