The Equity Risk Premium: A Review of Models
41 Pages Posted: 18 Aug 2015
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The Equity Risk Premium: A Review of Models
FRB of New York Staff Report No. 714
Number of pages: 41
Posted: 18 Aug 2015
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The Equity Risk Premium: A Consensus of Models
Number of pages: 23
Posted: 12 Jan 2014
Last Revised: 15 Feb 2014
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443
Date Written: 2015-02-01
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.
Keywords: equity premium, stock returns
JEL Classification: C58, G00, G12, G17
Suggested Citation: Suggested Citation
Duarte, Fernando and Rosa, Carlo, The Equity Risk Premium: A Review of Models (2015-02-01). FRB of New York Staff Report No. 714, Available at SSRN: https://ssrn.com/abstract=2646037 or http://dx.doi.org/10.2139/ssrn.2646037
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