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The Equity Premium Revisited

11 Pages Posted: 30 Jul 2010 Last revised: 29 Dec 2016

See all articles by Bradford Cornell

Bradford Cornell

Anderson Graduate School of Management, UCLA

Robert D. Arnott

Research Affiliates, LLC

Max Moroz

Research Affiliates, LLC

Date Written: February 1, 2009

Abstract

The recent collapse of the stock market has refocused attention on the question of the equity risk premium. One of the most comprehensive studies of the equity premium, completed by Fama and French in 2000, is now significantly out of date and requires refreshing. This article provides that update. We find that various procedures for estimating the premium from historical data are now converging to an annual equity premium over short-term commercial paper on the order of four percent.

Keywords: Equity Premium

JEL Classification: G10, G12

Suggested Citation

Cornell, Bradford and Arnott, Robert D. and Moroz, Max, The Equity Premium Revisited (February 1, 2009). Available at SSRN: https://ssrn.com/abstract=1651196 or http://dx.doi.org/10.2139/ssrn.1651196

Bradford Cornell

Anderson Graduate School of Management, UCLA ( email )

Pasadena, CA 91125
United States
626 833-9978 (Phone)

Robert D. Arnott

Research Affiliates, LLC ( email )

620 Newport Center Dr
Ste 900
Newport Beach, CA 92660
United States
949-325-8700 (Phone)
949-325-8901 (Fax)

HOME PAGE: http://www.researchaffiliates.com

Max Moroz (Contact Author)

Research Affiliates, LLC ( email )

620 Newport Center Drive
Suite 900
Newport Beach, CA 92660
United States

HOME PAGE: http://researchaffiliates.com/index.htm

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