The historical equity risk premium in Australia: post-GFC and 128 years of data

Brailsford, Tim, Handley, John C. and Maheswaran, Krishnan (2012) The historical equity risk premium in Australia: post-GFC and 128 years of data. Accounting and Finance, 52 1: 237-247. doi:10.1111/j.1467-629X.2011.00435.x


Author Brailsford, Tim
Handley, John C.
Maheswaran, Krishnan
Title The historical equity risk premium in Australia: post-GFC and 128 years of data
Journal name Accounting and Finance   Check publisher's open access policy
ISSN 0810-5391
1467-629X
Publication date 2012-03-01
Sub-type Article (original research)
DOI 10.1111/j.1467-629X.2011.00435.x
Open Access Status Not Open Access
Volume 52
Issue 1
Start page 237
End page 247
Total pages 11
Place of publication Richmond, VIC, Australia
Publisher Wiley-Blackwell
Language eng
Abstract We present an updated set of estimates of the historical equity risk premium in Australia covering the 128 calendar years from January 1883 to December 2010. Relative to bonds (bills), the observed equity premium has averaged 6.1 per cent (6.5 per cent) p.a. over this period, and we report a similar number for later periods of relatively good quality data. We also provide estimates that incorporate an adjustment for distributed imputation credits and include the annual time series of data relating to each of the underlying components - stock, bill and bond returns and inflation.
Keyword CAPM
Cost of capital
Equity risk premium
Valuation
Q-Index Code C1
Q-Index Status Provisional Code
Institutional Status UQ

Document type: Journal Article
Sub-type: Article (original research)
Collection: UQ Business School Publications
 
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