Survey: Market Risk Premium and Risk-Free Rate used for 81 countries in 2020

15 Pages Posted: 25 Mar 2020

See all articles by Pablo Fernandez

Pablo Fernandez

IESE Business School

Eduardo de Apellániz

Instituto de Estudos Sociais e Economicos (IESE)

Javier F. Acín

Independent

Date Written: March 25, 2020

Abstract

This paper contains the statistics of a survey about the Risk-Free Rate (RF) and the Market Risk Premium (MRP) used in 2020 for 81 countries. We got answers for 87 countries, but we only report the results for 81 countries with more than 6 answers.

Many respondents use for European countries a RF higher than the yield of the 10-year Government bonds. The coefficient of variation (standard deviation/average) of RF is higher than the coefficient of variation of MRP for the Euro countries.

The paper also contains the links to previous years surveys, from 2008 to 2019.

More than fifty respondents provided answers at the beginning of March and later, considering the coronavirus. Most of them increased MRP by 2%.

Keywords: equity premium; required equity premium; coronavirus; expected equity premium; risk-free rate

JEL Classification: G12, G31, M21

Suggested Citation

Fernandez, Pablo and de Apellániz, Eduardo and F. Acín, Javier, Survey: Market Risk Premium and Risk-Free Rate used for 81 countries in 2020 (March 25, 2020). Available at SSRN: https://ssrn.com/abstract=3560869 or http://dx.doi.org/10.2139/ssrn.3560869

Pablo Fernandez (Contact Author)

IESE Business School ( email )

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

Eduardo De Apellániz

Instituto de Estudos Sociais e Economicos (IESE)

Javier F. Acín

Independent

No Address Available
United States

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