TY - JOUR
T1 - The historical equity risk premium in Australia
T2 - Post-GFC and 128 years of data
AU - Brailsford, Tim
AU - Handley, John C.
AU - Maheswaran, Krishnan
PY - 2012/3
Y1 - 2012/3
N2 - 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.
AB - 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.
UR - http://www.scopus.com/inward/record.url?scp=84855913083&partnerID=8YFLogxK
U2 - 10.1111/j.1467-629X.2011.00435.x
DO - 10.1111/j.1467-629X.2011.00435.x
M3 - Article
AN - SCOPUS:84855913083
SN - 0810-5391
VL - 52
SP - 237
EP - 247
JO - Accounting and Finance
JF - Accounting and Finance
IS - 1
ER -