Abstract

http://ssrn.com/abstract=1940165
 
 

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Equity Premia Around the World


Elroy Dimson


London Business School; University of Cambridge - Judge Business School

Paul Marsh


London Business School - Institute of Finance and Accounting

Mike Staunton


London Business School - Institute of Finance and Accounting

October 7, 2011


Abstract:     
We update our global evidence on the long-term realized equity risk premium, relative to both bills and bonds, in 19 different countries. Our study now runs from 1900 to the start of 2011. While there is considerable variation across countries, the realized equity risk premium was substantial everywhere. For our 19-country World index, over the entire 111 years, geometric mean real returns were an annualized 5.5%; the equity premium relative to Treasury bills was an annualized 4.5%; and the equity premium relative to long-term government bonds was an annualized 3.8%. The expected equity premium is lower, around 3% to 3½% on an annualized basis.

Number of Pages in PDF File: 19

Keywords: equity risk premium, long run returns, international evidence, stocks bonds bills inflation

JEL Classification: E40, G12, G15, G23, N20

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Date posted: October 8, 2011 ; Last revised: September 10, 2012

Suggested Citation

Dimson, Elroy and Marsh, Paul and Staunton, Mike, Equity Premia Around the World (October 7, 2011). Available at SSRN: http://ssrn.com/abstract=1940165 or http://dx.doi.org/10.2139/ssrn.1940165

Contact Information

Elroy Dimson (Contact Author)
London Business School ( email )
Sussex Place
Regent's Park
London, NW1 4SA
United Kingdom
44 20 7000 7000 (Phone)
44 700 607 7390 (Fax)
HOME PAGE: http://www.london.edu/faculty/edimson
University of Cambridge - Judge Business School
Trumpington Street
Cambridge, CB2 1AG
United Kingdom
Paul Marsh
London Business School - Institute of Finance and Accounting ( email )
Sussex Place
Regent's Park
London NW1 4SA
United Kingdom
Mike Staunton
London Business School - Institute of Finance and Accounting ( email )
Sussex Place
Regent's Park
London NW1 4SA
United Kingdom
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