Estimación del Premio por Riesgo en Chile
This 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%.
|Date of creation:||Feb 2011|
|Contact details of provider:|| Postal: Casilla No967, Santiago|
Phone: (562) 670 2000
Fax: (562) 698 4847
Web page: http://www.bcentral.cl/
More information through EDIRC
References listed on IDEAS
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.
- Fernando Lefort & Eduardo Walker, 2002. "Cambios Estructurales e Integración. Discusión y Análisis del Mercado Accionario Chileno," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 39(116), pages 95-122.
When requesting a correction, please mention this item's handle: RePEc:chb:bcchwp:617. See general information about how to correct material in RePEc.
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.