The South African Equity Risk Premium

P Digby, C Firer and E Gilbert

Studies in Economics and Econometrics, 2006, vol. 30, issue 3, 1-17

Abstract: This report estimates the expected equity risk premium for South African by comparing the historical realised risk premium between 1900 and 2004 against results for two fundamental models that use dividend and earnings growth as unbiased estimators of long term equity price growth. The dividend model result of 6.6% based on data for the 1960-2004 period is proposed as the best unbiased estimate of the expected average annual equity premium over the risk free rate. The evidence provided suggests a decline in the expected South African equity risk premium, and a lower expected premium for the future than in the past.

Date: 2006
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/10800379.2006.12106413 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:rseexx:v:30:y:2006:i:3:p:1-17

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/rsee20

DOI: 10.1080/10800379.2006.12106413

Access Statistics for this article

Studies in Economics and Econometrics is currently edited by Willem Bester

More articles in Studies in Economics and Econometrics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().