Estimación del Premio por Riesgo en Chile
AbstractThis study describes the different methodologies to measure the equity risk premium (ERP) and, in specific, the ERP for Chile between January 1993 and May 2010. The first one was estimate the historical difference in annual returns of stocks over bonds, which gave an ERP in the range of 2.8% and 6.7%, depending on the choice of the stock index and risk free security. On the other hand, and as an alternative to the first methodology, calculated the return on stocks based on current equity prices using a dividend discount model, which resulted in an ERP in a range of 4.9%> to 7.2%, depending on the type of risk free security considered. Finally, the authors added Chilean sovereign risk to the base premium for matured equity markets, obtaining an ERP between 3.7% and 7.6%.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Central Bank of Chile in its series Working Papers Central Bank of Chile with number 617.
Date of creation: Feb 2011
Date of revision:
This paper has been announced in the following NEP Reports:
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Mehra, Rajnish & Prescott, Edward C., 1985.
"The equity premium: A puzzle,"
Journal of Monetary Economics,
Elsevier, vol. 15(2), pages 145-161, March.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Claudio Sepulveda).
If references are entirely missing, you can add them using this form.