Market Risk Premium and Risk-Free Rate used for 59 Countries in 2018: A Survey
16 Pages Posted: 23 Apr 2018
Date Written: April 3, 2018
This paper contains the statistics of a survey about the Risk-Free Rate (RF) and the Market Risk Premium (MRP) used in 2018 for 59 countries. We got answers for 73 countries, but we only report the results for 59 countries with more than 5 answers.
The change between 2015 and 2018 of the average Km (RF + MRP) used was higher than 1% for 22 countries (see table 5).
Most of the respondents use for European countries a RF higher than the yield of the 10-year Government bonds. Due to “Quantitative Easing”, the RF and the MRP reported for some countries are negatively correlated (Spain, Germany, Netherlands, Norway). The coefficient of variation (standard deviation/average) of Km is lower than the one of MRP and RF for 35 countries.
For the first time of this survey, 11 respondents provided - without being asked for - a different MRP for Spain and Catalonia (on average, 6,7% for Spain and 11,3% for Catalonia).
Keywords: equity premium; required equity premium; expected equity premium; risk-free rate; heterogeneous expectations
JEL Classification: G12, G31, M21
Suggested Citation: Suggested Citation