The Historical and Expected Equity Risk Premium in Spain: A Long-Run View, 1900-2020

Principal Investigator(s):  View help for Principal Investigator(s) Stefano Battilossi, Universidad Carlos III de Madrid; Stefan O. Houpt, Universidad Carlos III de Madrid; Miguel Artola Blanco, Universidad Carlos III de Madrid

Version:  View help for Version V1

Name File Type Size Last Modified
HIBEX_ERP_SUMMARY CONTENT OF EVIEWS WORKFILE.pdf application/pdf 513.5 KB 11/20/2024 01:13:PM
HIBEX_ERP_dataset_annual_1900-2020.xlsx application/vnd.openxmlformats-officedocument.spreadsheetml.sheet 166.3 KB 11/20/2024 05:37:AM
HIBEX_ERP_dataset_monthly_1900-2020.xlsx application/vnd.openxmlformats-officedocument.spreadsheetml.sheet 3.1 MB 11/21/2024 01:09:AM
HIBEX_ERP_summary_annual data.xlsx application/vnd.openxmlformats-officedocument.spreadsheetml.sheet 41.1 KB 11/20/2024 05:22:AM
hibex_erp_regressions.wf1 application/octet-stream 4.8 MB 11/20/2024 05:25:AM

Project Citation: 

Battilossi, Stefano, Houpt, Stefan O., and Artola Blanco, Miguel. The Historical and Expected Equity Risk Premium in Spain: A Long-Run View, 1900-2020. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2024-11-21. https://doi.org/10.3886/E211601V1

Project Description

Summary:  View help for Summary Replication data for manuscript "The Historical and Expected Equity Risk Premium in Spain: A Long-Run View, 1900-2020". We present revised estimates of the historical (ex post) equity risk premium and an original estimate of the expected (ex ante) premium for the Madrid stock market over a period of 120 years. The results are based on a new equity index, the H-IBEX (1900-1987), built on high-quality monthly data hand-collected from primary sources and methodologically aligned with the modern Spanish index, IBEX35. We also reconstructed an original weighted index of government bonds (1900-1987) which can be smoothly connected with recent data. Data include original series for equities, bonds and bills for the Madrid Stock Exchange from 1900 to 1987, at monthly and annual frequency, spliced with more recent data on equities (IBEX35) and bonds, to cover the period until 2020. Documentation includes three Excel files (monthly series, annual series and  summary of annual data) and one Eviews13 file with main regressions.
Funding Sources:  View help for Funding Sources Universidad Carlos III de Madrid

Scope of Project

Subject Terms:  View help for Subject Terms economic history; equity risk premium; stock markets; asset pricing; return predictability
Geographic Coverage:  View help for Geographic Coverage Spain
Time Period(s):  View help for Time Period(s) 1900 – 2020
Universe:  View help for Universe Equities and bonds traded in the Madrid Stock Exchange
Data Type(s):  View help for Data Type(s) observational data

Methodology

Data Source:  View help for Data Source Bulletins and Yearbooks of the Madrid Stock Exchange

Related Publications

Release of this data has been delayed until 06/30/2025 at the request of the depositor.

Published Versions

V1 [2024-11-21]

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