The (Un)Predictable Equity Risk Premium

Challenger Limited, Sydney, 2015

44 Pages Posted: 25 Nov 2015

See all articles by Robert J. Bianchi

Robert J. Bianchi

Griffith University

Michael E. Drew

Griffith University

Adam Walk

The University of Notre Dame Australia

Date Written: November 22, 2015

Abstract

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

Bianchi, Robert J. and Drew, Michael E. and Walk, Adam, The (Un)Predictable Equity Risk Premium (November 22, 2015). Challenger Limited, Sydney, 2015, Available at SSRN: https://ssrn.com/abstract=2694373

Robert J. Bianchi (Contact Author)

Griffith University ( email )

170 Kessels Road
Nathan, Queensland QLD 4111
Australia

Michael E. Drew

Griffith University ( email )

Brisbane, Queensland 4111
Australia

Adam Walk

The University of Notre Dame Australia ( email )

Sydney
Sydney, NSW 2000
Australia

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