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The Equity Premium and Risk-Free Rate Puzzles in a Turbulent Economy: Evidence from 105 Years of Data from South Africa

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  • Andrew van Biljon
  • Shakill Hassan

Abstract

This paper presents a detailed empirical examination of the South African equity premium; and a quantitative theoretic exercise to test the canonical inter-temporal consumption-based asset pricing model under power utility. Over the long run, the South African stock market produced average returns six to eight percentage points above bonds and cash; and at the 20-year […]

Suggested Citation

  • Andrew van Biljon & Shakill Hassan, 2009. "The Equity Premium and Risk-Free Rate Puzzles in a Turbulent Economy: Evidence from 105 Years of Data from South Africa," Working Papers 156, Economic Research Southern Africa.
    • Handle: RePEc:rza:wpaper:156
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    Cited by:

    1. Peter Aling & Shakill Hassan, 2012. "No-Arbitrage One-Factor Models Of The South African Term Structure Of Interest Rates," South African Journal of Economics, Economic Society of South Africa, vol. 80(3), pages 301-318, September.
    2. Tesfaye T. Lemma & Martin Feedman & Mthokozisi Mlilo & Jin Dong Park, 2019. "Corporate carbon risk, voluntary disclosure, and cost of capital: South African evidence," Business Strategy and the Environment, Wiley Blackwell, vol. 28(1), pages 111-126, January.
    3. Magomet Yandiev, 2021. "Risk-Free Rate in the Covid-19 Pandemic: Application Mistakes and Conclusions for Traders," Papers 2111.07075, arXiv.org.
    4. John Fay & Umesh Kumar, 2013. "An Index-Based Model for Determining the Investment Benchmark of Renewable Energy Projects in South Africa," South African Journal of Economics, Economic Society of South Africa, vol. 81(3), pages 416-426, September.

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    More about this item

    JEL classification:

    • E21 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • N27 - Economic History - - Financial Markets and Institutions - - - Africa; Oceania

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