2009 Risk premia over time report (20090302165510)

2009 ® Ibbotson Risk Premia Over Time Report
Estimates for 1926–2008

The information presented in the 2009 Ibbotson® Risk Premia Over Time Report has been obtained with the greatest of care from sources believed to be reliable, but is not guaranteed to be complete, accurate or timely. Morningstar and its affiliated companies expressly disclaim any liability, including incidental orconsequential damages, arising from the use of this publication or any errors or omissions that may be contained in it. © 2009 Morningstar. All rights reserved. No part of this publication may be reproduced or used in any other form or by any other means—graphic, electronic, or mechanical, including photocopying, recording, taping, or information storage and retrieval systems—without Morningstar’sprior, written permission. To obtain permission, please call Product Sales or write to the address below. Your request should specify the data or other information you wish to use and the manner in which you wish to use it. In addition, you will need to include copies of any charts, tables, and/or figures that you have created based on that information. There is a $1500 processing fee perrequest. There may be additional fees depending on your proposed usage. Published by: Morningstar, Inc. 22 W. Washington Street Chicago, Illinois 60602 Main (312) 696-6000 Product Sales (888) 298-3647 Fax (312) 696-6010 global.morningstar.com/DataPublications

Page Introduction Wealth Indices of Investments in the U.S. Capital Markets (1925-2008) Summary Statistics of Annual Returns (1926-2008) ▪Basic series ▪ CRSP size deciles Key Variables in Estimating the Cost of Capital (year-end 2008) Riskless rates, equity risk premia, size premia, size breakpoints Long-Horizon Equity Risk Premia (all historical time periods) Percent per annum arithmetic mean risk premia Intermediate-Horizon Equity Risk Premia (all historical time periods) Percent per annum arithmetic mean risk premiaShort-Horizon Equity Risk Premia (all historical time periods) Percent per annum arithmetic mean risk premia Mid-Cap Size Premia (all historical time periods) Percent per annum risk premia Low-Cap Size Premia (all historical time periods) Percent per annum risk premia Micro-Cap Size Premia (all historical time periods) Percent per annum risk premia 2 3 4

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51Introduction
The 2009 Ibbotson® Risk Premia Over Time Report contains data that summarizes the results of the capital markets for 2008, and features variables used to estimate the cost of capital. In addition, Tables A-1 through A-6 allow you to customize your analysis by selecting a particular start and end date for equity and size premia over any historical time period (1926–2008). Each tableconsists of six pages and cover:
►Long-horizon equity risk premia ►Intermediate-horizon equity risk premia ►Short-horizon equity risk premia ►Mid-cap size premia ►Low-cap size premia ►Micro-cap size premia

Mid-cap equity size premia: Returns in excess of those predicted by beta for the portfolio of stocks represented by the 3-5 deciles of the New York Stock Exchange, American Stock Exchange, andNasdaq National Market; current capitalization at or below $7,360 million, but greater than $1,849 million. Low-cap equity size premia: Returns in excess of those predicted by beta for the portfolio of stocks represented by the 6-8 deciles of the New York Stock Exchange, American Stock Exchange, and Nasdaq National Market; current capitalization at or below $1,849 million, but greater than$453 million. Micro-cap equity size premia: Returns in excess of those predicted by beta for the portfolio of stocks represented by the 9-10 deciles of the New York Stock Exchange, American Stock Exchange, and Nasdaq National Market; current capitalization below $453 million. For additional information regarding Morningstar’s cost of capital related products, please visit our web site at:...