Historical
Implied Equity Risk PremiumsData Used: Multiple data services
Data: Historical Implied Equity Risk Premiums for the US (See my paper on equity risk premiums for details)
Date: January 2024
Download as an excel file instead: https://www.stern.nyu.edu/~adamodar/pc/datasets/histimpl.xls
| Year | Earnings Yield | Dividend Yield | S&P 500 | Earnings* | Dividends* | Dividends + Buybacks | Change in Earnings | Change in Dividends | T.Bill Rate | T.Bond Rate | Bond-Bill | Smoothed Growth | Implied Premium (DDM) | Analyst Growth Estimate | Implied ERP (FCFE) | Implied Premium (FCFE with sustainable Payout) | ERP/Riskfree Rate |
| 1960 | 5.34% | 3.41% | 58.11 | 3.10 | 1.98 | 2.66% | 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% | 1.24 | |||
| 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% | 0.92 | |||
| 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% | 0.82 | |||
| 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% | 0.79 | |||
| 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% | 0.71 | |||
| 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% | 0.79 | |||
| 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% | 0.56 | |||
| 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% | 0.49 | |||
| 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% | 0.47 | |||
| 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% | 0.52 | |||
| 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% | 0.52 | |||
| 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% | 0.42 | |||
| 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% | 0.62 | |||
| 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% | 0.76 | |||
| 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% | 0.53 | |||
| 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% | 0.67 | |||
| 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% | 0.76 | |||
| 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% | 0.63 | |||
| 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% | 0.62 | |||
| 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% | 0.40 | |||
| 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% | 0.41 | |||
| 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% | 0.47 | |||
| 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% | 0.37 | |||
| 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% | 0.44 | |||
| 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% | 0.43 | ||
| 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% | 0.50 | ||
| 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% | 0.45 | ||
| 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% | 0.41 | ||
| 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% | 0.44 | ||
| 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% | 0.48 | ||
| 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% | 0.52 | ||
| 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% | 0.53 | ||
| 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% | 0.55 | ||
| 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% | 0.45 | ||
| 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% | 0.59 | ||
| 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% | 0.50 | ||
| 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% | 0.48 | ||
| 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% | 0.49 | ||
| 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% | 0.32 | ||
| 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% | 0.56 | ||
| 2001 | 3.85% | 1.37% | 1148.09 | 38.85 | 15.74 | 30.08 | -30.79% | -3.24% | 1.80% | 5.05% | 3.25% | 3.56% | 1.73% | 10.30% | 3.62% | 2.91% | 0.72 |
| 2002 | 5.23% | 1.83% | 879.82 | 46.04 | 16.08 | 29.83 | 18.51% | 2.15% | 1.20% | 3.81% | 2.61% | 3.57% | 2.29% | 8.00% | 4.10% | 4.73% | 1.08 |
| 2003 | 4.87% | 1.61% | 1111.91 | 54.69 | 17.88 | 31.58 | 18.79% | 11.19% | 1.00% | 4.25% | 3.25% | 5.35% | 2.12% | 11.00% | 3.69% | 4.74% | 0.87 |
| 2004 | 5.58% | 1.60% | 1211.92 | 67.68 | 19.407 | 40.60 | 23.75% | 8.54% | 2.18% | 4.22% | 2.04% | 4.90% | 2.02% | 8.50% | 3.65% | 4.86% | 0.86 |
| 2005 | 5.47% | 1.79% | 1248.29 | 76.45 | 22.38 | 61.17 | 12.96% | 15.32% | 4.31% | 4.39% | 0.08% | 6.16% | 2.20% | 8.00% | 4.08% | 5.22% | 0.93 |
| 2006 | 6.18% | 1.77% | 1418.3 | 87.72 | 25.05 | 73.16 | 14.74% | 11.93% | 4.88% | 4.70% | -0.18% | 5.93% | 1.97% | 12.50% | 4.16% | 6.12% | 0.89 |
| 2007 | 5.62% | 1.89% | 1468.36 | 82.54 | 27.73 | 95.36 | -5.91% | 10.70% | 3.31% | 4.02% | 0.71% | 5.03% | 2.06% | 5.00% | 4.37% | 4.59% | 1.09 |
| 2008 | 7.24% | 3.11% | 903.25 | 65.39 | 28.05 | 67.52 | -20.78% | 1.15% | 1.59% | 2.21% | 0.62% | 2.11% | 4.05% | 4.00% | 6.43% | 6.92% | 2.91 |
| 2009 | 5.35% | 2.00% | 1115.10 | 59.65 | 22.31 | 37.43 | -8.78% | -20.46% | 0.14% | 3.84% | 3.70% | 0.28% | 2.60% | 7.20% | 4.36% | 4.64% | 1.14 |
| 2010 | 6.65% | 1.84% | 1257.64 | 83.66 | 23.12 | 55.53 | 40.25% | 3.63% | 0.13% | 3.29% | 3.16% | 3.33% | 2.24% | 6.95% | 5.20% | 6.09% | 1.58 |
| 2011 | 7.72% | 2.07% | 1257.60 | 97.05 | 26.02 | 71.28 | 16.01% | 12.54% | 0.03% | 1.88% | 1.85% | 2.75% | 2.71% | 7.18% | 6.01% | 8.34% | 3.20 |
| 2012 | 7.18% | 2.13% | 1426.19 | 102.47 | 30.44 | 75.90 | 5.58% | 16.99% | 0.05% | 1.76% | 1.71% | 2.93% | 2.47% | 5.27% | 5.78% | 7.30% | 3.28 |
| 2013 | 5.81% | 1.96% | 1848.36 | 107.45 | 36.28 | 88.13 | 4.86% | 19.19% | 0.07% | 3.04% | 2.97% | 5.01% | 2.03% | 4.28% | 4.96% | 4.99% | 1.63 |
| 2014 | 5.49% | 1.92% | 2058.90 | 113.01 | 39.44 | 101.98 | 5.17% | 8.71% | 0.05% | 2.17% | 2.12% | 2.77% | 2.24% | 5.58% | 5.78% | 5.48% | 2.66 |
| 2015 | 5.20% | 2.11% | 2043.94 | 106.32 | 43.16 | 106.10 | -5.92% | 9.43% | 0.21% | 2.27% | 2.06% | 2.96% | 2.46% | 5.51% | 6.12% | 5.16% | 2.70 |
| 2016 | 4.86% | 2.01% | 2238.83 | 108.86 | 45.03 | 108.67 | 2.39% | 4.33% | 0.51% | 2.45% | 1.94% | 2.64% | 2.41% | 5.54% | 5.69% | 4.50% | 2.32 |
| 2017 | 4.67% | 1.86% | 2673.61 | 124.94 | 49.73 | 108.28 | 14.77% | 10.44% | 1.39% | 2.41% | 1.02% | 3.22% | 2.36% | 7.05% | 5.08% | 4.75% | 2.11 |
| 2018 | 5.92% | 2.14% | 2506.85 | 148.34 | 53.61 | 136.65 | 18.73% | 7.80% | 2.37% | 2.68% | 0.31% | 3.24% | 2.50% | 4.12% | 5.96% | 5.55% | 2.22 |
| 2019 | 5.03% | 1.82% | 3230.78 | 162.35 | 58.80 | 150.50 | 9.44% | 9.68% | 1.55% | 1.92% | 0.37% | 2.57% | 2.03% | 3.96% | 5.20% | 5.06% | 2.71 |
| 2020 | 3.72% | 1.51% | 3756.07 | 139.76 | 56.70 | 127.78 | -13.91% | -3.57% | 0.09% | 0.93% | 0.84% | 0.74% | 1.65% | 5.42% | 4.72% | 4.94% | 5.08 |
| 2021 | 4.33% | 1.24% | 4766.18 | 206.38 | 59.20 | 147.24 | 47.67% | 4.41% | 0.06% | 1.51% | 1.45% | 1.71% | 1.72% | 6.47% | 4.24% | 4.90% | 2.81 |
| 2022 | 5.72% | 1.78% | 3839.50 | 219.49 | 68.34 | 181.99 | 6.35% | 15.44% | 4.42% | 3.88% | -0.54% | 5.59% | 2.16% | 6.41% | 5.94% | 5.11% | 1.53 |
| 2023 | 4.61% | 1.47% | 4769.83 | 219.70 | 70.30 | 164.25 | 0.10% | 2.87% | 5.20% | 3.88% | -1.32% | 3.73% | 1.97% | 8.74% | 4.60% | 4.57% | 1.19 |
Update: Januaary 2024