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The equity risk premium: a review of models

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  • Fernando M. Duarte
  • Carlo Rosa

Abstract

We estimate the equity risk premium (ERP) by combining information from twenty models. The ERP in 2012 and 2013 reached heightened levels?of around 12 percent?not seen since the 1970s. We conclude that the high ERP was caused by unusually low Treasury yields.

Suggested Citation

  • Fernando M. Duarte & Carlo Rosa, 2015. "The equity risk premium: a review of models," Staff Reports 714, Federal Reserve Bank of New York.
  • Handle: RePEc:fip:fednsr:714
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    References listed on IDEAS

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    More about this item

    Keywords

    equity premium; stock returns;

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G00 - Financial Economics - - General - - - General
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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