The paper examines the equity risk premium, a key concept in finance, and questions the reliability of historical estimates of this premium. The authors calculate the equity risk premium for several countries over extended periods, finding that the realized US equity premium aligns with premiums observed in other countries. Using data spanning over a century, they find that current estimates of the equity premium are similar to those from the pre-1914 era, suggesting that the financial environment during that period is more relevant to today's conditions than the 1914-1945 or 1945-1971 periods. This finding is significant given the argument that the pre-1914 financial environment is closer to the present. The study also explores the variation in country premia over time and the impact of market integration on equity premiums. The results indicate that the realized equity premium has been relatively consistent across countries and that the current equity risk premium is lower than consensus forecasts, aligning with the idea that the premium has decoupled from expected returns. The paper concludes that the historical context of market integration and financial stability before World War I may provide insights into the current equity premium, suggesting that the current financial environment is more similar to the pre-1914 period than to more recent periods.The paper examines the equity risk premium, a key concept in finance, and questions the reliability of historical estimates of this premium. The authors calculate the equity risk premium for several countries over extended periods, finding that the realized US equity premium aligns with premiums observed in other countries. Using data spanning over a century, they find that current estimates of the equity premium are similar to those from the pre-1914 era, suggesting that the financial environment during that period is more relevant to today's conditions than the 1914-1945 or 1945-1971 periods. This finding is significant given the argument that the pre-1914 financial environment is closer to the present. The study also explores the variation in country premia over time and the impact of market integration on equity premiums. The results indicate that the realized equity premium has been relatively consistent across countries and that the current equity risk premium is lower than consensus forecasts, aligning with the idea that the premium has decoupled from expected returns. The paper concludes that the historical context of market integration and financial stability before World War I may provide insights into the current equity premium, suggesting that the current financial environment is more similar to the pre-1914 period than to more recent periods.