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Article: The properties of the equity premium and the risk-free rate: an investigation across time and countries.
- Article from:
- IMF Staff Papers
- Article date:
- July 1, 2003
- Author:
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Copyright informationCOPYRIGHT 2003 International Monetary Fund. This material is published under license from the publisher through the Gale Group, Farmington Hills, Michigan. All inquiries regarding rights should be directed to the Gale Group. (Hide copyright information)
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The historical magnitude of the equity premium and of the average real risk-free ate in the United States has been the object of intense study in the past 15 years and continues to fascinate investors and academics. It is well known, for example, that the average real return on stocks is much higher than the average short-term real interest rate and that the volatility of the former is much higher than the volatility of the latter. In the past five years the excess return of equity over short-term risk-free interest rates has been even larger than in the previous decade and stock volatility has also substantially increased. These two facts together have prompted some ...
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