Market Risk Premium and Risk-Free Rate used for 59 Countries in 2018: A Survey

16 Pages Posted: 23 Apr 2018  

Pablo Fernandez

University of Navarra - IESE Business School

Vitaly Pershin

University of Navarra, IESE Business School

Isabel Fernández Acín

University of Navarra - University of Navarra, Students

Date Written: April 3, 2018

Abstract

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

Fernandez, Pablo and Pershin, Vitaly and Fernández Acín, Isabel, Market Risk Premium and Risk-Free Rate used for 59 Countries in 2018: A Survey (April 3, 2018). Available at SSRN: https://ssrn.com/abstract=3155709 or http://dx.doi.org/10.2139/ssrn.3155709

Pablo Fernandez (Contact Author)

University of Navarra - IESE Business School ( email )

Camino del Cerro del Aguila 3
28023 Madrid
Spain
+34 91 357 0809 (Phone)
+34 91 357 2913 (Fax)

HOME PAGE: http://web.iese.edu/PabloFernandez/

Vitaly Pershin

University of Navarra, IESE Business School ( email )

Avenida Pearson 21
Barcelona, 08034
Spain

Isabel Fernández Acín

University of Navarra - University of Navarra, Students ( email )

Pamplona
Spain

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