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The historical equity risk premium in Australia: post‐GFC and 128 years of data
Author(s) -
Brailsford Tim,
Handley John C.,
Maheswaran Krishnan
Publication year - 2012
Publication title -
accounting and finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.645
H-Index - 49
eISSN - 1467-629X
pISSN - 0810-5391
DOI - 10.1111/j.1467-629x.2011.00435.x
Subject(s) - bond , equity (law) , risk premium , equity premium puzzle , economics , imputation (statistics) , stock (firearms) , econometrics , financial economics , actuarial science , statistics , finance , missing data , geography , mathematics , political science , archaeology , law
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.