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The historical equity risk premium in Australia: post-GFC and 128 years of data


  • We are grateful to the Australian Stock Exchange, Roger Hall of the Reserve Bank of Australia and Steve Whennan of the Australian Bureau of Statistics for the provision of data used in our earlier study and which are again used here. The views expressed in this study do not necessarily reflect the views of Morgan Stanley.


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.