Ibboston : Erp's Essay

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2010 ® Ibbotson Risk Premia Over Time Report Estimates for 1926–2009 The information presented in the 2010 Ibbotson® Risk Premia Over Time Report has been obtained with the greatest of care from sources believed to be reliable, but is not guaranteed to be complete, accurate or timely. Morningstar and its affiliated companies expressly disclaim any liability, including incidental or consequential damages, arising from the use of this publication or any errors or omissions that may be contained in it. © 2010 Morningstar. All rights reserved. No part of this publication may be reproduced or used in any other form or by any other means—graphic, electronic, or mechanical, including photocopying, recording, taping, or information storage and retrieval systems—without Morningstar’s prior, written permission. To obtain permission, please call Product Sales or write to the address below. Your request should specify the data or other information you wish to use and the manner in which you wish to use it. In addition, you will need to include copies of any charts, tables, and/or figures that you have created based on that information. There is a $1500 processing fee per request. There may be additional fees depending on your proposed usage. Morningstar, Inc. 22 West Washington St. Chicago, Illinois 60602 Main (312) 696-6000 Product Sales (888) 298-3647 Fax (312) 696-6010 global.morningstar.com/SBBIYearBooks Page Introduction Wealth Indices of Investments in the U.S. Capital Markets (1925-2009) Summary Statistics of Annual Returns (1926-2009) ▪ Basic series` ▪ CRSP size deciles Key Variables in Estimating the Cost of Capital (year-end 2009) Riskless rates, equity risk premia, size premia, size breakpoints Long-Horizon Equity Risk Premia (all historical time periods) Percent per annum arithmetic mean risk premia Intermediate-Horizon Equity Risk Premia (all historical

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