The Equity Risk Premium: A Review of Models

41 Pages Posted: 18 Aug 2015

See all articles by Fernando Duarte

Fernando Duarte

Brown University

Carlo Rosa

Federal Reserve Banks - Federal Reserve Bank of New York

Multiple version iconThere are 2 versions of this paper

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

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

Fernando Duarte (Contact Author)

Brown University ( email )

64 Waterman Street
Providence, RI 02912
United States

HOME PAGE: http://fernando.duarte@github.io

Carlo Rosa

Federal Reserve Banks - Federal Reserve Bank of New York ( email )

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