Equity Premiums around the World

Research Foundation Publications
2011 | Vol. 2011 | No. 4 | 21 pages
Source: Research Foundation of CFA Institute
Elroy Dimson Paul Marsh Mike Staunton



The authors update the long-term realized equity risk premium for 19 different countries for 1900–2010. For the 19-country World index, the annualized geometric mean real return on equities was 5.5 percent, and the annualized equity premiums relative to Treasury bills and to long-term government bonds were 4.5 percent and 3.8 percent, respectively. The expected equity premium relative to bills is lower, around 3–3.5 percent annualized.

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