On the market risk premium
Journal Article
2002
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Journal for Studies in Economics and Econometrics
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Publisher
Bureau for Economic Research
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University of Cape Town
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Faculty
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Abstract
A perspective is given on the dynamic nature, reliability, and the estimation of the market risk premium, as well as some implications concerning its current level. The analysis is based on a data set spanning some 76 years. An historical ‘best estimate’ of 7,5 percent is suggested for practical use. Furthermore, graphical insights on the dynamic nature of the market risk premium using a rolling estimation approach, reveal a slow decline in the market risk premium.
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Reference:
Firer, C., & Bradfield, D. (2002). On the market risk premium. Journal for Studies in Economics and Econometrics, 26(2), 69.