IDEAS home Printed from https://ideas.repec.org/a/vrs/finprj/v2y2016i1p80-99n1004.html
   My bibliography  Save this article

The Equity Risk Premium in Australia (1900-2014)

Author

Listed:
  • Bianchi Robert J

    (Griffith University, Brisbane, Australia)

  • Drew Michael E

    (Griffith University, Brisbane, Australia)

  • Walk Adam N

    (Griffith University, Brisbane, Australia)

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.

Suggested Citation

  • Bianchi Robert J & Drew Michael E & Walk Adam N, 2016. "The Equity Risk Premium in Australia (1900-2014)," Financial Planning Research Journal, Sciendo, vol. 2(1), pages 80-99.
    • Handle: RePEc:vrs:finprj:v:2:y:2016:i:1:p:80-99:n:1004
    DOI: 10.2478/fprj-2016-0004
    as

    Download full text from publisher

    File URL: https://doi.org/10.2478/fprj-2016-0004
    Download Restriction: no
    File URL: https://libkey.io/10.2478/fprj-2016-0004?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Lawrence Fisher & James H. Lorie, 1968. "Rates of Return on Investments in Common Stock: The Year-by-Year Record, 1926-65," The Journal of Business, University of Chicago Press, vol. 41, pages 291-291.
    2. Jeremy J. Siegel & Richard H. Thaler, 1997. "Anomalies: The Equity Premium Puzzle," Journal of Economic Perspectives, American Economic Association, vol. 11(1), pages 191-200, Winter.
    3. Roll, Richard, 1977. "A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory," Journal of Financial Economics, Elsevier, vol. 4(2), pages 129-176, March.
    4. Elroy Dimson & Paul Marsh & Mike Staunton, 2003. "Global Evidence On The Equity Risk Premium," Journal of Applied Corporate Finance, Morgan Stanley, vol. 15(4), pages 27-38, September.
    5. Jeremy J. Siegel, 2005. "Perspectives on the Equity Risk Premium," Financial Analysts Journal, Taylor & Francis Journals, vol. 61(6), pages 61-73, November.
    6. Robert D. Arnott & Peter L. Bernstein, 2002. "What Risk Premium Is “Normal”?," Financial Analysts Journal, Taylor & Francis Journals, vol. 58(2), pages 64-85, March.
    7. Ibbotson, Roger G & Sinquefield, Rex A, 1976. "Stocks, Bonds, Bills, and Inflation: Year-by-Year Historical Returns (1926-1974)," The Journal of Business, University of Chicago Press, vol. 49(1), pages 11-47, January.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Prat, Georges, 2013. "Equity risk premium and time horizon: What do the U.S. secular data say?," Economic Modelling, Elsevier, vol. 34(C), pages 76-88.
    2. Alain Abou & Georges Prat, 2009. "The dynamics of U.S. equity risk premia: lessons from professionals'view," Working Papers hal-04140869, HAL.
    3. Othieno, Ferdinand & Biekpe, Nicholas, 2019. "Estimating the conditional equity risk premium in African frontier markets," Research in International Business and Finance, Elsevier, vol. 47(C), pages 538-551.
    4. Flouris, Triant & Walker, Thomas, 2005. "Financial Comparisons Across Different Business Models in the Canadian Airline Industry," 46th Annual Transportation Research Forum, Washington, D.C., March 6-8, 2005 208157, Transportation Research Forum.
    5. Shackman, Joshua D., 2006. "The equity premium and market integration: Evidence from international data," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(2), pages 155-179, April.
    6. Simone Polillo, 2018. "Market efficiency as a revolution in data analysis," Economic Anthropology, Wiley Blackwell, vol. 5(2), pages 198-209, June.
    7. Georges Prat, 2010. "Equity Risk Premium and Time Horizon : What do the U.S. Secular Data Say ?," Working Papers hal-04140905, HAL.
    8. M. C. Freeman & I. R. Davidson, 1999. "Estimating the equity premium," The European Journal of Finance, Taylor & Francis Journals, vol. 5(3), pages 236-246.
    9. Fernandez, Pablo, 2005. "La prima de riesgo del mercado (market risk premium)," IESE Research Papers D/585, IESE Business School.
    10. Hail, Luzi & Sikes, Stephanie & Wang, Clare, 2017. "Cross-country evidence on the relation between capital gains taxes, risk, and expected returns," Journal of Public Economics, Elsevier, vol. 151(C), pages 56-73.
    11. Reo Yamagata, 2025. "Expected and realized returns for dividend-targeting investors: CAPM-DDM conceptual framework using Australian REITs," SN Business & Economics, Springer, vol. 5(4), pages 1-27, April.
    12. Ray Ball & John Bowers, 1986. "Shares, Bonds, Treasury Notes, Property Trusts and Inflation: Historical Returns and Risks, 1974-1985," Australian Journal of Management, Australian School of Business, vol. 11(2), pages 117-137, December.
    13. Radosław Kurach, 2013. "Does Beta Explain Global Equity Market Volatility – Some Empirical Evidence," Contemporary Economics, Vizja University, vol. 7(2), June.
    14. Dumas, Bernard & Gabuniya, Tymur & Marston, Richard C, 2020. "Firms' Exposures to Geographic Risks," CEPR Discussion Papers 15503, C.E.P.R. Discussion Papers.
    15. Hertrich Markus, 2019. "A Novel Housing Price Misalignment Indicator for Germany," German Economic Review, De Gruyter, vol. 20(4), pages 759-794, December.
    16. Turan G. Bali & Robert F. Engle & Yi Tang, 2017. "Dynamic Conditional Beta Is Alive and Well in the Cross Section of Daily Stock Returns," Management Science, INFORMS, vol. 63(11), pages 3760-3779, November.
    17. Jorge Braga de Macedo & Jeffrey Goldstein & David Meerschwam, 1984. "International Portfolio Diversification: Short-Term Financial Assets and Gold," NBER Chapters, in: Exchange Rate Theory and Practice, pages 199-238, National Bureau of Economic Research, Inc.
    18. Ladislav Kristoufek & Paulo Ferreira, 2018. "Capital asset pricing model in Portugal: Evidence from fractal regressions," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 17(3), pages 173-183, November.
    19. Figge, Frank & Hahn, Tobias & Barkemeyer, Ralf, 2014. "The If, How and Where of assessing sustainable resource use," Ecological Economics, Elsevier, vol. 105(C), pages 274-283.
    20. Dumitriu, Ramona & Stefanescu, Razvan & Nistor, Costel, 2010. "Systematic risks for the financial and for the non-financial Romanian companies," MPRA Paper 41636, University Library of Munich, Germany, revised 28 Feb 2010.

    More about this item

    Keywords

    ;
    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:vrs:finprj:v:2:y:2016:i:1:p:80-99:n:1004. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Peter Golla (email available below). General contact details of provider: https://www.sciendo.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.