Equity Premia Around the World

19 Pages Posted: 8 Oct 2011 Last revised: 19 Mar 2016

Elroy Dimson

University of Cambridge - Judge Business School; London Business School

Paul Marsh

London Business School - Institute of Finance and Accounting

Mike Staunton

London Business School - Institute of Finance and Accounting

Date Written: 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.

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

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

Suggested Citation

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

Elroy Dimson (Contact Author)

University of Cambridge - Judge Business School ( email )

Trumpington Street
Cambridge, CB2 1AG
United Kingdom
+44 20 7000 8212 (Phone)
+44 700 607 7390 (Fax)

London Business School ( email )

Sussex Place
Regent's Park
London, NW1 4SA
United Kingdom
44 20 7000 7000 (Phone)
44 700 607 7390 (Fax)

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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