The Equity Risk Premium: A Review of Models

descriptionPublicationkeyboard_double_arrow_right Article , Other literature type , Research , Preprint 01 Jan 2015 English Publisher:Elsevier BVJournal:SSRN Electronic Journal (eissn: 1556-5068,

Copyright policy )

Authors: Duarte, Fernando M.; Rosa, Carlo;

doi: 10.2139/ssrn.2646037

handle: 10419/120825

The Equity Risk Premium: A Review of Models

- Summary
- Subjects
- Metrics

Abstract

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.

Related Organizations

Federal Reserve Bank of New York
United States
Brown University
United States
University of Parma
Italy

Keywords

G17, ddc:330, stock returns, equity premium, equity premium; stock returns, C58, G00, G12, jel: jel:G12, jel: jel:C58, jel: jel:G00, jel: jel:G17

Impact byBIP!

	selected citations These citations are derived from selected sources. This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).	18
	popularity This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.	Average
	influence This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).	Top 10%
	impulse This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.	Top 10%