The historical equity risk premium in Australia: Post-GFC and 128 years of data

Tim Brailsford*, John C. Handley, Krishnan Maheswaran

*Corresponding author for this work

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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.

Original languageEnglish
Pages (from-to)237-247
Number of pages11
JournalAccounting and Finance
Volume52
Issue number1
DOIs
Publication statusPublished - Mar 2012

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