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US market risk premium used in 2011 by professors, analysts and companies: A survey with 5.731 answers

Author

Listed:
  • Fernandez, Pablo

    (IESE Business School)

  • Aguirreamalloa, Javier

    (IESE Business School)

  • Corres, Luis

    (IESE Business School)

Abstract

The average Market Risk Premium (MRP) used in 2011 by professors for the USA (5.7%) is higher than the one used by analysts (5.0%) and companies (5.6%). The standard deviation of the MRP used in 2011 by analysts (1.1%) is lower than the ones of companies (2.0%) and professors (1.6%). Most previous surveys have been interested in the Expected MRP, but this survey asks about the Required MRP. The paper also contains the references used to justify the MRP, comments from 58 persons that do not use MRP, and comments of 110 that do use MRP. The comments illustrate the various interpretations of the required MRP and its usefulness. Professors, analysts and companies that cite Ibbotson as their reference use MRP for USA between 2% and 14.5%, and the ones that cite Damodaran as their reference use MRP between 2% and 10.8%.

Suggested Citation

  • Fernandez, Pablo & Aguirreamalloa, Javier & Corres, Luis, 2011. "US market risk premium used in 2011 by professors, analysts and companies: A survey with 5.731 answers," IESE Research Papers D/918, IESE Business School.
    • Handle: RePEc:ebg:iesewp:d-0918
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    File URL: http://www.iese.edu/research/pdfs/DI-0918-E.pdf
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    Citations

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    Cited by:

    1. Peter Cauwels, Didier Sornette, "undated". "Quis pendit ipsa pretia: facebook valuation and diagnostic of a bubble based on nonlinear demographic dynamics," Working Papers ETH-RC-11-007, ETH Zurich, Chair of Systems Design.
    2. Fernández, Pablo & Aguirreamalloa, Javier & Corres, Luis, 2013. "Market Risk Premium Used in 82 Countries in 2012: A Survey with 7,192 Answers," IESE Research Papers D/1059, IESE Business School.
    3. Peter Cauwels & Didier Sornette, 2011. "Quis pendit ipsa pretia: facebook valuation and diagnostic of a bubble based on nonlinear demographic dynamics," Papers 1110.1319, arXiv.org, revised Nov 2011.

    More about this item

    Keywords

    equity premium; required equity premium; expected equity premium; historical equity premium;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G31 - Financial Economics - - Corporate Finance and Governance - - - Capital Budgeting; Fixed Investment and Inventory Studies
    • M21 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Economics - - - Business Economics

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