TY - JOUR T1 - An Empirical Examination of Ex Ante<br/>Estimates of the Market Risk Premium JF - The Journal of Investing SP - 51 LP - 58 DO - 10.3905/joi.2014.23.2.051 VL - 23 IS - 2 AU - Austin Murphy AU - Liang Fu AU - Terry Benzschawel Y1 - 2014/05/31 UR - https://pm-research.com/content/23/2/51.abstract N2 - 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 ER -