Journal article

Re-examination of the historical equity risk premium in Australia

Tim Brailsford, John C Handley, Krishnan Maheswaran

ACCOUNTING AND FINANCE | BLACKWELL PUBLISHING | Published : 2008

Abstract

In light of the ongoing debate over the value of the equity risk premium, its increasing use in the regulatory setting, and the impact of dividend imputation on the premium, this paper presents a timely new look at the historical equity risk premium in Australia, and provides an improved understanding of the historical record. We document concerns about data quality that become increasingly important the further back in time one looks. In particular, there are sufficient question marks over the quality of data prior to 1958 to warrant any estimates based thereon to be treated with caution. Accordingly, we present a new set of estimates of the historical equity risk premium corresponding to p..

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University of Melbourne Researchers