Equity Risk Premiums
Equity Risk Premiums is a resource guide to risk premiums, size premiums, and other
related financial and economic data for the U.S. and other countries.
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Each entry below includes
the source organization and a link to its website, a description of the resource and its
primary features, and indicates any information that is accessible free online.
Other economic data resources
available on this site include:
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Cost of Equity Capital
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SBBI
Valuation Edition Yearbook
Ibbotson Associates, a division of Morningstar, Inc.
Annual yearbook provides historical risk-free rates, equity risk premia, size premia,
and 500 industry premia for use in the buildup method. Also includes presentation and
discussion of different valuation methods including the buildup method, Capital Asset
Pricing Model, Fama-French 3-factor model, and discounted cash flow approach.
U.S.
Risk Premia Over Time Report
Ibbotson Associates, a division of Morningstar, Inc.
Report provides long-, intermediate- and short-term risk premia and mid-, low- and micro-cap
size premia over user-selected historical time periods.
Duff & Phelps
LLC Risk Premium Report
Roger Grabowski and David King, Duff & Phelps, LLC
Report provides risk premia for companies broken into 25 different size groups, and quantifies
the relationship between rates of return, company size, and fundamental measures of company
risk.
International
Equity Risk Premia Report
Ibbotson Associates, a division of Morningstar, Inc.
Containing data back to 1970, report provides historical long- and short-horizon equity
risk premia for 16 countries. Data appears both in local currency and in U.S. dollar values.
Canadian
Risk Premia Over Time Report
Ibbotson Associates, a division of Morningstar, Inc.
Report provides long-horizon risk premia information over user-selected historical time
periods. Historical data is available from 1936 (Canadian dollar) or 1939 (U.S. dollar).
United
Kingdom Risk Premia Over Time Report
Ibbotson Associates, a division of Morningstar, Inc.
Report provides long-horizon risk premia information over user-selected historical time
periods. Historical data is available from 1919 (British pound) or 1920 (U.S. dollar).
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