Abstract

http://ssrn.com/abstract=309176
 
 

Citations



 


 



The Equity Premium


Eugene F. Fama


University of Chicago - Finance

Kenneth R. French


Dartmouth College - Tuck School of Business; National Bureau of Economic Research (NBER)


Journal of Finance, Vol. 57, pp. 637-659, 2002

Abstract:     
We estimate the equity premium using dividend and earnings growth rates to measure the expected rate of capital gain. Our estimates for 1951 to 2000, 2.55 percent and 4.32 percent, are much lower than the equity premium produced by the average stock return, 7.43 percent. Our evidence suggests that the high average return for 1951 to 2000 is due to a decline in discount rates that produces a large unexpected capital gain. Our main conclusion is that the average stock return of the last half-century is a lot higher than expected.

Accepted Paper Series





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Date posted: November 28, 2003  

Suggested Citation

Fama, Eugene F. and French, Kenneth R., The Equity Premium. Journal of Finance, Vol. 57, pp. 637-659, 2002. Available at SSRN: http://ssrn.com/abstract=309176

Contact Information

Eugene F. Fama (Contact Author)
University of Chicago - Finance ( email )
5807 S. Woodlawn Avenue
Chicago, IL 60637
United States
773-702-7282 (Phone)
773-702-9937 (Fax)
Kenneth R. French
Dartmouth College - Tuck School of Business ( email )
Hanover, NH 03755
United States
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
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