Estadísticas › Rentabilidades a largo plazo › Equity premium error
After 84 years of data the equity premium is still a two and a half standard error estimate
| Periodo | Over bills, arithmetic | Standard error | Over bonds, arithmetic | Standard error |
|---|---|---|---|---|
| 1928 to 2011 | 7.54% | 2.22% | 5.79% | 2.36% |
| 1962 to 2011 | 5.38% | 2.39% | 3.36% | 2.68% |
| 2002 to 2011 | 3.12% | 6.46% | -1.92% | 8.94% |
| 1928 to 2011, geometric | 5.62% | no informado | 4.10% | no informado |
Standard errors computed from the actual return data. Underlying annual means over 1928 to 2011 are 11.20 per cent for shares, 3.66 for bills and 5.41 for long bonds. Note the final row: the gap between the arithmetic and geometric versions of the same premium is between 1.7 and 1.9 percentage points, so quoting a premium without saying which is being used makes the figure not comparable.
The American equity premium over long bonds from 1928 to 2011 is 5.79 per cent a year with a standard error of 2.36. Eighty four years of data gives a 95 per cent interval roughly 4.6 percentage points wide on either side.
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