The Expected Value Premium

23 Pages Posted: 9 Apr 2007

See all articles by Long Chen

Long Chen

Cheung Kong Graduate School of Business

Ralitsa Petkova

Case Western Reserve University - Department of Banking & Finance

Lu Zhang, 张橹

Ohio State University - Fisher College of Business; National Bureau of Economic Research (NBER)

Multiple version iconThere are 3 versions of this paper

Abstract

Fama and French (2002) estimate the equity premium using dividend growth rates to measure expected rates of capital gain. We apply their method to study the value premium. From 1945 to 2005, the expected value premium is on average 6.1% per annum, consisting of an expected dividend-growth component of 4.4% and an expected dividend-price-ratio component of 1.7%. Unlike the equity premium, the value premium has been largely stable in the last half century.

Keywords: The Value Strategy, Expected Returns, Dividend Growth, Dividend Price Ratio, Capital Gains

JEL Classification: G12, G14

Suggested Citation

Chen, Long and Petkova, Ralitsa and Zhang, Lu, The Expected Value Premium. Forthcoming, Journal of Financial Economics (JFE). Available at SSRN: https://ssrn.com/abstract=978746

Long Chen

Cheung Kong Graduate School of Business ( email )

Oriental Plaza, Tower E3
One East Chang An Avenue
Beijing, 100738
China

Ralitsa Petkova

Case Western Reserve University - Department of Banking & Finance ( email )

10900 Euclid Ave.
Cleveland, OH 44106-7235
United States

Lu Zhang (Contact Author)

Ohio State University - Fisher College of Business ( email )

2100 Neil Avenue
Columbus, OH 43210-1144
United States
585-267-6250 (Phone)

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Register to save articles to
your library

Register

Paper statistics

Downloads
356
rank
20,238
Abstract Views
1,774
PlumX Metrics