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DISCOUNT RATE (RISK-FREE RATE AND MARKET RISK PREMIUM) USED FOR 41 COUNTRIES IN
2017: A SURVEY



15 Pages Posted: 19 Apr 2017

See all articles by Pablo Fernandez


PABLO FERNANDEZ

IESE Business School


VITALY PERSHIN

University of Navarra, IESE Business School


ISABEL FERNÁNDEZ ACÍN

University of Navarra - University of Navarra, Students

Date Written: April 17, 2017


ABSTRACT

This paper contains the statistics of a survey about the Risk-Free Rate (RF) and
the Market Risk Premium (MRP) used in 2017 for 41 countries. We got answers for
68 countries, but we only report the results for 41 countries with more than 25
answers.

The average (RF) used in 2017 was smaller than the one used in 2015 in 12
countries (in 5 of them the difference was more than 1%). In 10 countries the
average (RF) used in 2017 was more than a 1% higher than the one used in 2015
(see table 6). The change between 2015 and 2017 of the average Market risk
premium used was higher than 1% for 11 countries (see table 6).

Most of the respondents use for Europe and UK a Risk-Free Rate (RF) higher than
the yield of the 10-year Government bonds. Due to Quantitative Easing, the
Risk-Free Rate (RF) and the Market Risk Premium (MRP) reported for Euro
countries are negatively correlated (Spain -51%; Germany -28%; France -47%;
Italy -30%)



Keywords: Market Risk Premium; Equity Premium; Required Equity Premium; Expected
Equity Premium; Historical Equity Premium

JEL Classification: G12; G31; M21

Suggested Citation: Suggested Citation

Fernandez, Pablo and Pershin, Vitaly and Fernández Acín, Isabel, Discount Rate
(Risk-Free Rate and Market Risk Premium) Used for 41 Countries in 2017: A Survey
(April 17, 2017). Available at SSRN: https://ssrn.com/abstract=2954142 or
http://dx.doi.org/10.2139/ssrn.2954142


PABLO FERNANDEZ (CONTACT AUTHOR)

IESE BUSINESS SCHOOL ( EMAIL )

Avenida Pearson 21
Barcelona, 08034
Spain
+34 91 357 0809 (Phone)
+34 91 357 2913 (Fax)


HOME PAGE: http://web.iese.edu/PabloFernandez/


VITALY PERSHIN

UNIVERSITY OF NAVARRA, IESE BUSINESS SCHOOL ( EMAIL )

Avenida Pearson 21
Barcelona, 08034
Spain



ISABEL FERNÁNDEZ ACÍN

UNIVERSITY OF NAVARRA - UNIVERSITY OF NAVARRA, STUDENTS ( EMAIL )

Pamplona
Spain



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27 REFERENCES

 1. References Brealey, R A, S C Myers, F Allen, / Mcgraw-Hill, Irwin, J J
    Claus, J K Thomas
    
    
    EQUITY PREMIA AS LOW AS THREE PERCENT? EVIDENCE FROM ANALYSTS' EARNINGS
    FORECASTS FOR DOMESTIC AND INTERNATIONAL STOCK MARKETS
    
    Journal of Finance, volume 8, issue 5, p. 1629 - 66
    Posted: 2001
 2. Aswath Damodaran
    
    
    EQUITY RISK PREMIUMS (ERP): DETERMINANTS, ESTIMATION AND IMPLICATIONS
    
    77 Pages · Posted: 1 Oct 2008 · Last revised: 17 Oct 2008
    Download PDF Add Paper to My Library
    Download PDF
    Add Paper to My Library
 3. E Dimson, P Marsh, M Staunton
    
    
    THE WORLDWIDE EQUITY PREMIUM: A SMALLER PUZZLE
    
    Handbook of investments: Equity risk premium, R. Mehra
    Posted: 2007
    Crossref
 4. Pablo Fernandez
    
    
    EQUITY PREMIUM: HISTORICAL, EXPECTED, REQUIRED AND IMPLIED
    
    25 Pages · Posted: 27 Sep 2006 · Last revised: 26 May 2019
    Download PDF Add Paper to My Library
    Download PDF
    Add Paper to My Library

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Plum Print visual indicator of research metrics
 * Citations
   * Citation Indexes: 8
   * Policy Citations: 1
 * Usage
   * Abstract Views: 20557
   * Downloads: 2517
 * Captures
   * Readers: 44
 * Mentions
   * Blog Mentions: 1
   * News Mentions: 1
 * Social Media
   * Shares, Likes & Comments: 52
   * Tweets: 4

see details


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