The equity risk premium: a review of models

Fernando Duarte and Carlo Rosa

No 714, Staff Reports from Federal Reserve Bank of New York

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.

Keywords: equity premiums; stock returns (search for similar items in EconPapers)
JEL-codes: C58 G00 G12 G17 (search for similar items in EconPapers)
Date: 2015-02-01
New Economics Papers: this item is included in nep-fmk and nep-mfd
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Citations: View citations in EconPapers (75)

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