The Equity Premium Revisited
11 Pages Posted: 30 Jul 2010 Last revised: 29 Dec 2016
Date Written: February 1, 2009
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One of the most comprehensive studies of the equity premium, completed by Fama and French in 2000, is now significantly out of date and requires refreshing.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: Suggested Citation