This paper estimates the standard and tax-adjusted market risk premiums in New Zealand using historical data between 1931-2002 and a variant of the Siegel (1992) methodology. Similar to Siegel we present evidence that real bond yields in New Zealand were low over the period 1931-2002 and this may bias upwards an Ibbotsontype estimate of the market risk premium. Using an estimate for the histori...

Three of the papers examine the relationship between financial asset valuations and macroeconomic fundamentals. Hall tries to account for corporate equity valuations using fundamentals such as taxes, risk, and depreciation with mixed results. Bernanke and Kuttner also examine the fundamental determinants of equity prices, but they focus only on monetary policy surprises, which appear to have a ...

The goal of this article is an estimate of the objective forward-looking U.S. equity risk premium relative to bonds through history—specifically, since 1802. For correct evaluation, such a complex topic requires several careful steps: To gauge the risk premium for stocks relative to bonds, we need an expected real stock return and an expected real bond return. To gauge the expected real bond re...

I calculate exact expressions for risk premia, term premia, and the premium on levered equity in a framework that includes habit formation, keeping/catching up with the Joneses, and possible departures from rational expectations. Closed-form expressions for the …rst and second moments of returns and for the R2 of a regression of stock returns on the dividend-price ratio are derived under lognor...

This paper focuses on a topical and important area of theory and practice ie. The risk premium in financial markets. While there exists a vast amount of research into its behaviour, particularly in US markets, this is largely based on regression based techniques which do not capture well the dynamic and forward looking nature of the risk premium. In this paper the time variation of the unobserv...