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- W23924999 abstract "This paper estimates the standard and tax-adjusted market risk premiums in New Zealand using historical data between 1931-2002 and a variant of the Siegel (1992) methodology. Similar to Siegel we present evidence that real bond yields in New Zealand were low over the period 1931-2002 and this may bias upwards an Ibbotson-type estimate of the market risk premium. Using an estimate for the historical average of the expected real bond yield of .03-.04, then the Siegel-type estimate for the standard market risk premium in New Zealand is .03-.04, and the Siegel-type estimate for the tax-adjusted market risk premium is .055 to .062. These figures are about .02 lower than Ibbotson type estimates, and are also lower than estimates of the forward looking type. Our study has potential implications for the cost of equity capital and capital budgeting." @default.
- W23924999 created "2016-06-24" @default.
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- W23924999 date "2004-01-01" @default.
- W23924999 modified "2023-09-23" @default.
- W23924999 title "Estimating the market risk premium in New Zealand through the Siegel Methodology" @default.
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