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Risk Free Rate to calculate Equity Risk Premium

Calculating Equity Risk Premium (ERP) requires an input for the Risk Free Rate in the calculation by Open University:

ERP = E(Rm) - Rf

For estimation of ERP, how do I get the Risk Free Rate, say in Pipeline or out, other than using fetcher()?
For instance, Risk Free Rate to assume a proxy rate, say the 30-Day SEC Yield rate of GOVT?

Quantopian has price data for ETFs such as GOVT et. al. (see Notebook attached).. is there a way to get yield data (30-Day SEC or yield-to-maturity) as if "dividend yield" from these ETFs as input into the ERP equation?

What other ways you may suggest? Thanks

Regards,

Karl

4 responses

If you go to the FRED website and look up the constant-maturity Treasury yield for 3 months, that is the number you should use, and you'll also observe that you may as well use a fixed 1.0%, without losing anything from your analysis.

You should be able to access the FRED database via Quandl.

Reference: Risk Free Rate and Treasury Bond ETF

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@Karl - Nice! Thanks for this!

Reference: Risk Free Rate and Treasury Bond ETF
Data current to December 7, 2017

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