@article {Murphy51, author = {Austin Murphy and Liang Fu and Terry Benzschawel}, title = {An Empirical Examination of Ex AnteEstimates of the Market Risk Premium}, volume = {23}, number = {2}, pages = {51--58}, year = {2014}, doi = {10.3905/joi.2014.23.2.051}, publisher = {Institutional Investor Journals Umbrella}, abstract = {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}, issn = {1068-0896}, URL = {https://joi.pm-research.com/content/23/2/51}, eprint = {https://joi.pm-research.com/content/23/2/51.full.pdf}, journal = {The Journal of Investing} }