Date of this Version


Document Type

Journal Article

Publication Details

Submitted version

Brailsford, T.J., Handley, J.C., & Maheswaran, K. (2012). The historical equity risk premium in Australia: Post-GFC and 128 years of data. Accounting and Finance, 52(1), 237-247

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2012 HERDC submission. For code: 150100

© Copyright The Authors & Accounting and Finance 2011




We present an updated set of estimates of the historical equity risk premium in Australia covering the 128 calendar years from January 1883 to December 2010. Relative to bonds (bills), the observed equity premium has averaged 6.1 per cent (6.5 per cent) p.a. over this period, and we report a similar number for later periods of relatively good quality data. We also provide estimates that incorporate an adjustment for distributed imputation credits and include the annual time series of data relating to each of the underlying components - stock, bill and bond returns and inflation.



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