Pablo Fernandez Market Risk Premium and Risk

Annual survey on Market Risk Premium (MRP) and Risk-Free Rate (RF) estimates across various countries

Pablo Fernandez Market Risk Premium and Risk-Free Rate Survey

This annual survey, conducted by Professor Pablo Fernandez of IESE Business School, compiles data on the Market Risk Premium (MRP) and Risk-Free Rate (RF) utilized by finance and economics professionals across various countries.

Publisher: SSRN

Detailed Description

Global Insights on Market Risk Premium and Risk-Free Rates by Pablo Fernández

Pablo Fernández, a finance professor at IESE Business School, is well known for his annual global surveys on Market Risk Premiums (MRP) and Risk-Free Rates (RF)—crucial benchmarks for valuation professionals, financial analysts, and academics. His research provides a detailed look at the return expectations investors use to assess equity investments across the world.

The 2024 edition, published in March, compiles input from over 1,600 finance professionals across 96 countries, offering both current data and historical trends dating back to 2008. These insights help highlight shifts in market sentiment, economic conditions, and investor risk tolerance across global markets.

For example, the United States saw an average MRP of around 5.7%, while more volatile economies, such as Argentina or Venezuela, reported significantly higher premiums, reflecting greater perceived investment risk.

If you’re conducting valuations that span international markets, Fernández’s work is a valuable reference for applying appropriate country-specific assumptions.

Data Source

Source

The Pablo Fernández Market Risk Premium and Risk-Free Rate Survey compiles data through an annual questionnaire distributed to finance and economics professionals worldwide. The survey aims to capture the Market Risk Premium (MRP) and Risk-Free Rate (RF) figures that practitioners use in their financial analyses and valuations.
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1. Data Collection Methodology

Survey Distribution: Each year, the research team sends a brief email questionnaire to a vast network of finance and economics professors, analysts, and company managers. For instance, in 2023, the survey was emailed to over 15,000 professionals, resulting in 1,717 responses.
Respondent Criteria: The survey includes responses from individuals who actively engage in financial analysis and valuation, ensuring that the data reflects current professional practices.
Data Reporting Threshold: To maintain statistical relevance, the survey reports results only for countries with a minimum of six responses. In 2023, data from 80 countries met this criterion.

Data Processing and Validation

Outlier Management: Responses with extreme values are identified and excluded to prevent skewed results.
Data Segmentation: The survey categorizes data by country, providing insights into regional differences in MRP and RF figures.
Historical Comparisons: The survey includes links to previous years’ results, allowing for trend analysis over time.

Available from: SSRN

Pablo Fernandez Market Risk Premium and Risk

Pablo Fernandez Market Risk Premium and Risk-Free Rate Survey

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