(Market Risk Premium and Risk- Free Rate. Survey 2020). Abstract

Nº 3 / 2020 - julio-septiembre

(Market Risk Premium and Risk- Free Rate. Survey 2020).

Pablo Fernández
IESE Business School
Eduardo de Apellániz
Asistente de Investigación. IESE
Isabel F. Acín
Independent Researcher University of Navarra

Abstract:

This paper contains the statistics of a survey about the Risk-Free Rate (RF) and the Market Risk Premium (MRP) used in 2020 for 81 countries. We got answers for 87 countries, but we only report the results for 81 countries with more than 6 answers.
Many respondents use for European countries a RF higher than the yield of the 10-year Government bonds. The coefficient of variation (standard deviation / average) of RF
is higher than the coefficient of variation of MRP for the Euro countries.
The paper also contains the links to previous years surveys,
from 2008 to 2019.
More than fifty respondents provided answers at the beginning of March and later, considering the coronavirus.Most of them increased MRP by 2%.

Keywords: Equity premium; required equity premium; coronavirus; expected equity premium; risk-free rate