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We estimated the ex-ante equity risk premium for the Republic of Macedonia, which is a young, small and open emerging market. We polled academics and practitioners for their expectations on the stock market index MBI10 as a proxy for market portfolio. The risk premium is the expected MBI10 return relative to a government bond yield. Using the Kolmogorov-Smirnov and Anderson-Darling goodness-of-fit tests we determined the best fitted statistical distribution, and consequently estimated thedoi:10.2298/pan130925004n fatcat:5kv3t5dfxfhwffnrtogwp5uqpa