The Equity Risk Premium: A Review of Models - Federal Reserve Bank of New York

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The Equity Risk Premium: A Review of Models

February 2015 Number 714

JEL classification: C58, G00, G12, G17

Authors: Fernando Duarte and Carlo Rosa

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.

Available only in PDF pdf

41 pages / 719 kb
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