On the Market Risk Premium

C Firer and D Bradfield

Studies in Economics and Econometrics, 2002, vol. 26, issue 2, 69-80

Abstract: A perspective is given on the dynamic nature, reliability, and the estimation of the market risk premium, as well as some implications concerning its current level. The analysis is based on a data set spanning some 76 years. An historical ‘best estimate’ of 7,5 percent is suggested for practical use. Furthermore, graphical insights on the dynamic nature of the market risk premium using a rolling estimation approach, reveal a slow decline in the market risk premium.

Date: 2002
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DOI: 10.1080/10800379.2002.12106332

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