The expected value premium

doi:10.1016/j.jfineco.2007.04.001

The expected value premium

2008-02-01

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DOI：10.1016/j.jfineco.2007.04.001

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Fama and French [2002. The equity premium. Journal of Finance 57, 637-659] 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 over the last half century. (c) 2007 Elsevier B.V. All rights reserved.

Keyword:

value

growth

time-varying expected returns

dividend growth

The expected value premium

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