The Equity Risk Premium in Australia (1900-2014)

Bianchi, Robert J; Drew, Michael E; Walk, Adam N

doi:10.2478/fprj-2016-0004

Abstract

The equity risk premium (ERP) remains one of the most hotly contested ideas in finance. The disagreement, in practical and theoretical terms, centres on how best to measure the risk of an investment, how to convert this risk measure into an expected return that compensates the investor for holding that risk, and its degree of predictability. This paper provides Australian evidence for the period 1900 through 2014.

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The Equity Risk Premium in Australia (1900-2014)

Abstract

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