A market risk premium (MRP) that takes into account the forces of capital market convergence and globalization. However, not all countries have well-functioning economies and liquid capital markets, and historical data, if available, are only confined to very short periods of time. There also exist differences between world countries in taxes, treatment of dividends, among others. All these factors make an international risk premium a distant possibility. Yet, the U.S. market data provide an appropriate market risk premium proxy for other countries, after adjusting for differences in taxes and other factors.

Studies of 103-history of risk premiums in 16 countries found out that the U.S. risk premium relative to Treasury bills was 5.3 percent, while the U.K. risk premium stood at 4.2 percent. The international market risk premium was estimated at 4.5 percent.