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 resource listed below includes the source, a description of the resource
and its primary features, and any information that is accessible free online.
Other economic data resource guides available on this site include:
• Yield and Interest Rates
• Cost of Equity Capital
• Cost of Living and Inflation
• Economic Forecasts
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SBBI Valuation Edition Yearbook
Ibbotson Associates, a division of Morningstar, Inc.
Annual yearbook provides historical risk-free rates, equity risk premiums, size
premiums, and industry premiums for use in the buildup method. Also includes presentation
and discussion of several valuation methods including the buildup method, Capital
Asset Pricing 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. An excerpt from the most recent report is available
free online at
http://www.duffandphelps.com/expertise/publications/pages/default.aspx.
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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