“…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.…”