Implied Equity Risk Premiums for US Market

These implied premiums are calculated using the S&P 500.

You can get more detail on the process I use in my paper on equity risk premiums: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2238064

You can get the excel spreadsheet that contains this data by going to: http://www.stern.nyu.edu/~adamodar/pc/datasets/histimpl.xls

Year Earnings Yield Dividend Yield S&P 500 Earnings* Dividends* Change in Earnings Change in Dividends T.Bill Rate T.Bond Rate Bond-Bill Smoothed Growth Implied Premium (DDM) Analyst Growth Estimate Implied Premium (FCFE)
1960 5.34% 3.41% 58.11 3.10 1.98     0.0266 2.76% 0.10% 2.45%      
1961 4.71% 2.85% 71.55 3.37 2.04 8.60% 2.91% 2.13% 2.35% 0.22% 2.41% 2.92%   2.92%
1962 5.81% 3.40% 63.1 3.67 2.15 8.79% 5.21% 2.73% 3.85% 1.12% 4.05% 3.56%   3.56%
1963 5.51% 3.13% 75.02 4.13 2.35 12.75% 9.45% 3.12% 4.14% 1.02% 4.96% 3.38%   3.38%
1964 5.62% 3.05% 84.75 4.76 2.58 15.23% 10.08% 3.54% 4.21% 0.67% 5.13% 3.31%   3.31%
1965 5.73% 3.06% 92.43 5.30 2.83 11.20% 9.42% 3.93% 4.65% 0.72% 5.46% 3.32%   3.32%
1966 6.74% 3.59% 80.33 5.41 2.88 2.23% 1.96% 4.76% 4.64% -0.12% 4.19% 3.68%   3.68%
1967 5.66% 3.09% 96.47 5.46 2.98 0.85% 3.37% 4.21% 5.70% 1.49% 5.25% 3.20%   3.20%
1968 5.51% 2.93% 103.86 5.72 3.04 4.81% 2.09% 5.21% 6.16% 0.95% 5.32% 3.00%   3.00%
1969 6.63% 3.52% 92.06 6.10 3.24 6.66% 6.49% 6.58% 7.88% 1.30% 7.55% 3.74%   3.74%
1970 5.98% 3.46% 92.15 5.51 3.19 -9.72% -1.61% 6.53% 6.50% -0.03% 4.78% 3.41%   3.41%
1971 5.46% 3.10% 102.09 5.57 3.16 1.15% -0.74% 4.39% 5.89% 1.50% 4.57% 3.09%   3.09%
1972 5.23% 2.70% 118.05 6.17 3.19 10.76% 0.71% 3.84% 6.41% 2.57% 5.21% 2.72%   2.72%
1973 8.16% 3.70% 97.55 7.96 3.61 28.93% 13.24% 6.93% 6.90% -0.03% 8.30% 4.30%   4.30%
1974 13.64% 5.43% 68.56 9.35 3.72 17.48% 3.14% 8.00% 7.40% -0.60% 6.42% 5.59%   5.59%
1975 8.55% 4.14% 90.19 7.71 3.73 -17.54% 0.30% 5.80% 7.76% 1.96% 5.99% 4.13%   4.13%
1976 9.07% 3.93% 107.46 9.75 4.22 26.39% 13.10% 5.08% 6.81% 1.73% 8.19% 4.55%   4.55%
1977 11.43% 5.11% 95.1 10.87 4.86 11.53% 15.07% 5.12% 7.78% 2.66% 9.52% 5.92%   5.92%
1978 12.11% 5.39% 96.11 11.64 5.18 7.07% 6.60% 7.18% 9.15% 1.97% 8.48% 5.72%   5.72%
1979 13.48% 5.53% 107.94 14.55 5.97 25.01% 15.23% 10.38% 10.33% -0.05% 11.70% 6.45%   6.45%
1980 11.04% 4.74% 135.76 14.99 6.44 3.01% 7.81% 11.24% 12.43% 1.19% 11.01% 5.03%   5.03%
1981 12.39% 5.57% 122.55 15.18 6.83 1.31% 6.08% 14.71% 13.98% -0.73% 11.42% 5.73%   5.73%
1982 9.83% 4.93% 140.64 13.82 6.93 -8.95% 1.58% 10.54% 10.47% -0.07% 7.96% 4.90%   4.90%
1983 8.06% 4.32% 164.93 13.29 7.12 -3.84% 2.76% 8.80% 11.80% 3.00% 9.09% 4.31%   4.31%
1984 10.07% 4.68% 167.24 16.84 7.83 26.69% 9.85% 9.85% 11.51% 1.66% 11.02% 5.11%   5.11%
1985 7.42% 3.88% 211.28 15.68 8.20 -6.91% 4.74% 7.72% 8.99% 1.27% 7.89% 4.03% 6.75% 3.84%
1986 5.96% 3.38% 242.17 14.43 8.19 -7.93% -0.15% 6.16% 7.22% 1.06% 5.54% 3.36% 6.96% 3.58%
1987 6.49% 3.71% 247.08 16.04 9.17 11.10% 11.99% 5.47% 8.86% 3.39% 9.66% 4.18% 8.58% 3.99%
1988 8.20% 3.68% 277.72 24.12 10.22 50.42% 11.49% 6.35% 9.14% 2.79% 9.76% 4.12% 7.67% 3.77%
1989 6.80% 3.32% 353.4 24.32 11.73 0.83% 14.80% 8.37% 7.93% -0.44% 9.58% 3.85% 7.46% 3.51%
1990 6.58% 3.74% 330.22 22.65 12.35 -6.87% 5.26% 7.81% 8.07% 0.26% 7.39% 3.92% 7.19% 3.89%
1991 4.58% 3.11% 417.09 19.30 12.97 -14.79% 5.03% 7.00% 6.70% -0.30% 6.34% 3.27% 7.81% 3.48%
1992 4.16% 2.90% 435.71 20.87 12.64 8.13% -2.59% 5.30% 6.68% 1.38% 4.67% 2.83% 9.83% 3.55%
1993 4.25% 2.72% 466.45 26.90 12.69 28.89% 0.41% 3.50% 5.79% 2.29% 4.73% 2.74% 8.00% 3.17%
1994 5.89% 2.91% 459.27 31.75 13.36 18.03% 5.34% 5.00% 7.82% 2.82% 7.23% 3.06% 7.17% 3.55%
1995 5.74% 2.30% 615.93 37.70 14.17 18.74% 6.00% 3.50% 5.57% 2.07% 5.65% 2.44% 6.50% 3.29%
1996 4.83% 2.01% 740.74 40.63 14.89 7.77% 5.10% 5.00% 6.41% 1.41% 6.13% 2.11% 7.92% 3.20%
1997 4.08% 1.60% 970.43 44.09 15.52 8.52% 4.25% 5.35% 5.74% 0.39% 5.45% 1.67% 8.00% 2.73%
1998 3.11% 1.32% 1229.23 44.27 16.20 0.41% 4.37% 4.33% 4.65% 0.32% 4.60% 1.38% 7.20% 2.26%
1999 3.07% 1.14% 1469.25 51.68 16.71 16.74% 3.16% 5.37% 6.44% 1.07% 5.75% 1.20% 12.50% 2.05%
2000 3.94% 1.23% 1320.28 56.13 16.27 8.61% -2.65% 5.73% 5.11% -0.62% 3.71% 1.65% 12.00% 2.87%
2001 3.85% 1.37% 1148.09 38.85 15.74 -30.79% -3.24% 1.80% 5.05% 3.25% 3.56% 1.73% 10.30% 3.62%
2002 5.23% 1.83% 879.82 46.04 16.08 18.51% 2.15% 1.20% 3.81% 2.61% 3.57% 2.29% 8.00% 4.10%
2003 4.87% 1.61% 1111.91 54.69 17.88 18.79% 11.19% 1.00% 4.25% 3.25% 5.35% 2.12% 11.00% 3.69%
2004 5.58% 1.60% 1211.92 67.68 19.407 23.75% 8.54% 2.18% 4.22% 2.04% 4.90% 2.02% 8.50% 3.65%
2005 5.47% 1.79% 1248.29 76.45 22.38 12.96% 15.32% 4.31% 4.39% 0.08% 6.16% 2.20% 8.00% 4.08%
2006 6.18% 1.77% 1418.3 87.72 25.05 14.74% 11.93% 4.88% 4.70% -0.18% 5.93% 1.97% 12.50% 4.16%
2007 5.62% 1.89% 1468.36 82.54 27.73 -5.91% 10.70% 3.31% 4.02% 0.71% 5.03% 2.06% 5.00% 4.37%
2008 7.24% 3.11% 903.25 65.39 28.05 -20.78% 1.15% 1.59% 2.21% 0.62% 2.11% 4.05% 4.00% 6.43%
2009 5.35% 2.00% 1115.10 59.65 22.31 -8.78% -20.46% 0.14% 3.84% 3.70% 0.28% 2.60% 7.20% 4.36%
2010 6.65% 1.84% 1257.64 83.66 23.12 40.25% 3.63% 0.13% 3.29% 3.16% 3.33% 2.24% 6.95% 5.20%
2011 7.72% 2.07% 1257.60 97.05 26.02 16.01% 12.54% 0.03% 1.88% 1.85% 2.75% 2.71% 7.18% 6.01%
2012 7.18% 2.13% 1426.19 102.47 30.44 5.58% 16.99% 0.05% 1.76% 1.71% 2.93% 2.47% 5.27% 5.78%
2013 5.81% 1.96% 1848.36 107.45 36.28 4.86% 19.19% 0.07% 3.04% 2.97% 5.01% 2.03% 4.28% 4.96%

 

Last updated January 5, 2014