|
|
|
|
||||
|
||||
The Expected Value PremiumLong ChenCheung Kong Graduate School of Business Ralitsa PetkovaPurdue University - Krannert School of Management Lu ZhangOhio State University - Fisher College of Business; National Bureau of Economic Research (NBER) September 2006 AFA 2007 Chicago Meetings Paper Ross School of Business Paper No. 1049 Abstract: Fama and French (2002) estimate the equity premium using dividend growth rates to measure expected rates of capital gain. We use a similar method to study the value premium. From 1941 to 2005, the expected HML return is on average 6.0% per annum, consisting of an expected dividend-growth component of 4.4% and an expected dividend-price-ratio component of 1.6%. The expected HML return is also countercyclical: a positive, one-standard-deviation shock to real consumption growth lowers this premium by about 0.40%. Unlike the equity premium, there is only mixed evidence suggesting that the expected value premium has declined over time.
Number of Pages in PDF File: 39 Keywords: The Value Premium, Expected Returns, Dividend Growth, Dividend Price Ratio JEL Classification: G12, G14 working papers seriesDate posted: March 13, 2006Suggested CitationContact Information
|
|
|||||||||||||||||||||||||||||||||
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
FAQ
Terms of Use
Privacy Policy
Copyright
This page was processed by apollo4 in 0.876 seconds
