Abstract

http://ssrn.com/abstract=1708100
 
 

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A Meta-Analysis of the Equity Premium


Casper Van Ewijk


CPB Netherlands Bureau of Economic Policy Analysis

Henri L. F. De Groot


VU University Amsterdam - Department of Spatial Economics; Tinbergen Institute

Coos Santing


affiliation not provided to SSRN

September 12, 2010

Netspar Discussion Paper No. 09/2010-050

Abstract:     
The equity premium is a key parameter in asset allocation policies. There is a vigorous debate in the literature regarding the actual measurement of the equity premium, its size and the determinants of its variation. This study aims to take stock of this literature by means of a meta-analysis. We identify how the size of the equity premium depends on the way it is measured, along with its evolution over time and its variation across regions in the world. We find that the equity premium is significantly lower if measured by ex ante methods rather than ex post, in more recent periods, and for more developed countries. In addition, looking at the underlying fundamentals, we find that larger volatility in GDP growth tends to raise the equity premium while a higher nominal interest rate has a negative impact on the equity premium.

Number of Pages in PDF File: 28

Keywords: Equity Premium, Meta-Analysis

JEL Classification: D53, E44, G12, N20

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Date posted: November 12, 2010  

Suggested Citation

Van Ewijk, Casper and de Groot, Henri L. F. and Santing, Coos, A Meta-Analysis of the Equity Premium (September 12, 2010). Netspar Discussion Paper No. 09/2010-050. Available at SSRN: http://ssrn.com/abstract=1708100 or http://dx.doi.org/10.2139/ssrn.1708100

Contact Information

Casper Van Ewijk (Contact Author)
CPB Netherlands Bureau of Economic Policy Analysis ( email )
P.O. Box 80510
2508 GM The Hague, 2585 JR
Netherlands
Henri L.F. De Groot
VU University Amsterdam - Department of Spatial Economics ( email )
De Boelelaan 1105
Amsterdam, 1081 HV
Netherlands
+31 20 598 6168 (Phone)
+31 20 598 6004 (Fax)
Tinbergen Institute
Gustav Mahlerplein 17
Amsterdam, 1082 MS
Netherlands
Coos Santing
affiliation not provided to SSRN ( email )
Feedback to SSRN


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