I am trying to get some kind of measure of the overall risk premium in the world or in the US or Europe. I was thinking of High yield bond spreads but the problem is that I can’t find any data for free and the other problem is that I want to compare series over very long time (like 30-50 years or so) Any suggestions for other measures that could serve as indicator of the risk aversion?
There is no such thing as an overall risk premium. I don’t even know what that might mean. High yield bond spreads are deeply influenced by liquidity issues in high yield bonds. In particular, the spread isn’t even Markov but is highly autocorrelated. If you decided to present a measure of overall risk that was autocorrelated, I would give you the raised eyebrow “Really?” treatment. Edit: TED spread?
You might have to take a historical approach to do this and make a composite of your results. There were a couple of people who did an analysis of equity risk premiums over 1900 - 2002. Elroy Dimson, Paul Marsh, and Mike Staunton - regarding markets in 16 countries. You might want to look up some of their research. (in the Journal of Applied Corporate Finance (Fall 2003) pp 27 - 38) Look this up in your CFA books as well in Corporate Finance. This is where I saw it.