The equity risk premium: A review of models

We estimate the equity risk premium (ERP) by combining information from twenty models. The ERP in 2012 and 2013 reached heightened levels - of around 12 percent - not seen since the 1970s. We conclude that the high ERP was caused by unusually low Treasury yields.

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Year of publication:	2015
Authors:	Duarte, Fernando ; Rosa, Carlo
Publisher:	New York, NY : Federal Reserve Bank of New York
Subject:	equity premium \| stock returns

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Series:	Staff Report ; 714
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	819693510 [GVK] hdl:10419/120825 [Handle]
Classification:	c58 ; G00 - Financial Economics. General ; G12 - Asset Pricing ; G17 - Financial Forecasting
Source:	EconStor

Persistent link: https://www.econbiz.de/10011340995