Recent research challenges the reliability of historical estimates of the equity risk premium. This study calculates the equity risk premium for multiple countries over long periods, showing that the realized US equity premium aligns with those from other countries. Using over a century of data, it finds current estimates close to those from the pre-1914 era, suggesting the current equity risk premium is lower than consensus forecasts. The equity premium puzzle has been addressed through various theories, including survival bias and the probability of market crashes. Survival bias suggests that markets surviving long periods may show higher equity premia. However, this study finds no evidence that the US premium is unusually high, indicating that the equity premium is widespread and not confined to the US. The study also examines the variation in country-specific equity premia over time, finding that the realized premium is sensitive to the starting point of the data. It shows that the US premium is below the mean and median for the period 1900-2002, but this does not necessarily indicate a significant difference. The analysis highlights the importance of market integration, with evidence suggesting that markets were more integrated before the First World War. This period may have more relevance for current equity premium forecasts than more recent periods, as the financial environment then was similar to today. The study concludes that the realized equity risk premium is consistent across countries, and current estimates may align with historical data. The financial environment, including market integration, stability, and capital mobility, may be comparable to that of the pre-1914 era, supporting the idea that current equity premium forecasts are consistent with historical trends.Recent research challenges the reliability of historical estimates of the equity risk premium. This study calculates the equity risk premium for multiple countries over long periods, showing that the realized US equity premium aligns with those from other countries. Using over a century of data, it finds current estimates close to those from the pre-1914 era, suggesting the current equity risk premium is lower than consensus forecasts. The equity premium puzzle has been addressed through various theories, including survival bias and the probability of market crashes. Survival bias suggests that markets surviving long periods may show higher equity premia. However, this study finds no evidence that the US premium is unusually high, indicating that the equity premium is widespread and not confined to the US. The study also examines the variation in country-specific equity premia over time, finding that the realized premium is sensitive to the starting point of the data. It shows that the US premium is below the mean and median for the period 1900-2002, but this does not necessarily indicate a significant difference. The analysis highlights the importance of market integration, with evidence suggesting that markets were more integrated before the First World War. This period may have more relevance for current equity premium forecasts than more recent periods, as the financial environment then was similar to today. The study concludes that the realized equity risk premium is consistent across countries, and current estimates may align with historical data. The financial environment, including market integration, stability, and capital mobility, may be comparable to that of the pre-1914 era, supporting the idea that current equity premium forecasts are consistent with historical trends.