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The historical equity risk premium in Australia: post‐GFC and 128 years of data

The historical equity risk premium in Australia: post‐GFC and 128 years of data We present an updated set of estimates of the historical equity risk premium in Australia covering the 128 calendar years from January 1883 to December 2010. Relative to bonds (bills), the observed equity premium has averaged 6.1 per cent (6.5 per cent) p.a. over this period, and we report a similar number for later periods of relatively good quality data. We also provide estimates that incorporate an adjustment for distributed imputation credits and include the annual time series of data relating to each of the underlying components – stock, bill and bond returns and inflation. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Accounting & Finance Wiley

The historical equity risk premium in Australia: post‐GFC and 128 years of data

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References (5)

Publisher
Wiley
Copyright
© 2011 The Authors. Accounting and Finance © 2011 AFAANZ
ISSN
0810-5391
eISSN
1467-629X
DOI
10.1111/j.1467-629X.2011.00435.x
Publisher site
See Article on Publisher Site

Abstract

We present an updated set of estimates of the historical equity risk premium in Australia covering the 128 calendar years from January 1883 to December 2010. Relative to bonds (bills), the observed equity premium has averaged 6.1 per cent (6.5 per cent) p.a. over this period, and we report a similar number for later periods of relatively good quality data. We also provide estimates that incorporate an adjustment for distributed imputation credits and include the annual time series of data relating to each of the underlying components – stock, bill and bond returns and inflation.

Journal

Accounting & FinanceWiley

Published: Mar 1, 2012

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