The work determines the ex ante expected market risk premium based on the means of ex post observed return series of the stock market, minus the average yield of government bonds. For optimal comparability, the author uses government bonds with the longest possible remaining maturities, and alongside the US risk premium, data series from Japan, Germany, the United Kingdom, and France are analyzed. The study period begins in 1960 and spans 50 years. The observed results tend to be below the risk premium of around 5% per year that is often promoted in many standard textbooks. Consequently, the market risk premium is at least overestimated for long forecasting horizons.