2004
DOI: 10.1016/j.pacfin.2003.07.003
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Tax-adjusted market risk premiums in New Zealand: 1931–2002

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Cited by 24 publications
(32 citation statements)
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“…The data from 1983:1–1984:4 are the average of the monthly long‐term government bond yield series that was compiled by Chay et al . () and reported in Lally and Marsden ()…”
Section: The Modelmentioning
confidence: 55%
See 1 more Smart Citation
“…The data from 1983:1–1984:4 are the average of the monthly long‐term government bond yield series that was compiled by Chay et al . () and reported in Lally and Marsden ()…”
Section: The Modelmentioning
confidence: 55%
“…The data for 1985:1-2010:2 are the average of the daily data available on the RBNZ website (www.rbnz.govt.nz). The data from 1983:1-1984:4 are the average of the monthly long-term government bond yield series that was compiled by Chay et al (1993) and reported in Lally and Marsden (2004). 4 Government spending is the sum of public consumption and public investment.…”
Section: (Iii) Data and Estimationmentioning
confidence: 99%
“…In the NZ context, Table 6 shows that investors with a 10 year holding period face very different opportunities for investment in NZ bonds and equities over time. 32 Among the published evidence, estimates of the NZ historical equity market risk premium include 5.1% (PriceWaterhouseCoopers, 2002) for the period 1925-2002, 6.5% (Chay, Marsden, & Stubbs, 1995) for the period 1931-1994, 5.5-6.2% (Lally & Marsden, 2004a), 5.5-7.2% (Lally & Marsden, 2004b) for the period 1931-2002, 6-6.8% (Marsden, 2005) for the period 1931-2004 and 0.9-33.6% (Boyle, 2005) for the period 1970-2003. While Marsden (2004a, 2004b) and Marsden (2005) use the Brennan-Lally specification of the capital asset pricing model which considers personal taxes and results in higher MRP estimates, all other authors apply the standard CAPM.…”
Section: Datamentioning
confidence: 99%
“…The 3‐month zero‐coupon Treasury bond is used as the risk‐free rate and is obtained from the Reserve Bank of New Zealand (RBNZ) . When calculating excess returns, the risk‐free rate is multiplied by (1–0.33) to take into account marginal ordinary taxes faced by investors (Lally and Marsden, )…”
Section: Datamentioning
confidence: 99%