The market risk premium is a crucial concept in finance, representing the extra return investors expect from the stock market compared to safer investments like treasury bonds. There are three types: required, historical, and expected. While many assume they are the same, they actually differ. The historical premium is the same for everyone, but the required and expected premiums vary between investors. The Capital Asset Pricing Model (CAPM) suggests the required premium equals the expected one, but in reality, they can be different. Overall, investors have different expectations and requirements when it comes to the market risk premium.