PT  - JOURNAL ARTICLE
AU  - Austin Murphy
AU  - Liang Fu
AU  - Terry Benzschawel
TI  - An Empirical Examination of Ex Ante<br/>Estimates of the Market Risk Premium
AID  - 10.3905/joi.2014.23.2.051
DP  - 2014 May 31
TA  - The Journal of Investing
PG  - 51--58
VI  - 23
IP  - 2
4099  - https://pm-research.com/content/23/2/51.short
4100  - https://pm-research.com/content/23/2/51.full
AB  - This research investigates a new method for estimating the price of risk in the market using information on bond yield spreads. An empirical examination of the model indicates the ex-ante risk premium estimates, which vary significantly over time, have an average one-to-one relationship with future market returns. There is strong evidence that the procedure supplies forecasts that can be very useful in predicting future returns on stocks, high-yield bonds, and the overall market. It may therefore also assist in estimating the required return on assets needed to compute the present value of investments.TOPICS: Fixed income and structured finance, factors, risk premia