This paper shows that, when as usual the market portfolio is proxied by a share portfolio, then the conventional Ibbotson (1999) estimator of the market risk premium violates Miller-Modigliani (1958 and 1963) propositions II and III. A new estimator of the market risk premium is proposed which...

This paper documents historical returns to equities and long-term government bonds, bond yields and inflation rates in New Zealand over the period 1931-2002. Personal tax rates on various types of investment income are also estimated. This data is used to estimate the market risk premiums in two...

This paper estimates the standard and tax-adjusted market risk premiums in New Zealand using historical data between 1931-2002 and a variant of the Siegel (1992) methodology. Similar to Siegel we present evidence that real bond yields in New Zealand were low over the period 1931-2002 and this...