S&P 500 Equity Risk Premium - Yardeni Research
S&P 500 Equity Risk Premium
Yardeni Research, Inc.
November 9, 2022
Dr. Edward Yardeni
516-972-7683 eyardeni@
Joe Abbott
732-497-5306 jabbott@
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Table Of Contents Table Of Contents
Equity Risk Premium
1
November 9, 2022 / S&P 500 Equity Risk Premium
Yardeni Research, Inc.
Equity Risk Premium
Figure 1.
18
18
S&P 500 EARNINGS YIELD & REAL BOND YIELD
16
10-year US Treasury Bond Yield Minus
16
Average Expected CPI Inflation Rate
14
For Next 10 Years (Phili Fed Survey)*
14
S&P 500 Expected
12
Earnings To Price Ratio**
12
10-Year TIPS Yield***
10
(weekly)
10
8
8
6
Sep 6
4
4
2
11/4 2
0
Q3
0
-2
-2
79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24
* Data from 1979 to 1991 quarterly, monthly thereafter. ** Earnings-price ratio is based on the Thomson Reuters I/B/E/S consensus estimates of earnings over the coming 12 months. *** Yields on Treasury inflation protected securities (TIPS) adjused to constant maturities.
Source: Board of Governors of the Federal Reserve System, US Treasury, I/B/E/S data by Refinitiv, and Federal Reserve Bank of Philadelphia.
Figure 2.
13
13
S&P 500 EARNINGS YIELD MINUS REAL BOND YIELD*
12
12
11
11
10
10
9
9
8
8
7
7
6
6
Q3
5
5
4
4
3
3
2
2
1
1
0
0
-1
-1
79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24
* S&P 500 forward expected earnings to price ratio minus 10-year Treasury bond yield minus average expected Median CPI inflation rate for next 10 years (Phili Fed Survey). Source: Board of Governors of the Federal Reserve System, US Treasury, I/B/E/S data by Refinitiv, and Federal Reserve Bank of Philadelphia.
Page 1 / November 9, 2022 / S&P 500 Equity Risk Premium
Yardeni Research, Inc.
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