The (Un)Predictable Equity Risk Premium
Challenger Limited, Sydney, 2015
44 Pages Posted: 25 Nov 2015
Date Written: November 22, 2015
The equity risk premium (ERP) remains one of the most hotly contested ideas in finance. The disagreement, in practical and theoretical terms, centres on how best to measure the risk of an investment, how to convert this risk measure into an expected return that compensates the investor for holding that risk, and its degree of predictability. This paper provides Australian evidence for the period 1900 through 2014 and forward looking estimates.
Keywords: Equity Risk Premium; Australia
JEL Classification: G10, G11, J32
Suggested Citation: Suggested Citation