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The expected value premium

delete2008-02-01
delete62
PRE
AI
C
Chen, Long
R
Ralitsa Petkova
Z
Zhang, Lu *
DOI：10.1016/j.jfineco.2007.04.001delete
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Abstract

Abstract

En 中文
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.
Keywords:
value
growth
time-varying expected returns
dividend growth

Journal

Journal of Financial Economics cover
Journal of Financial Economics
IF:
12
Papers:
3.8K
Citations:
5.5W

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U
University of Michigan
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Citations: 124
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university of michigan system
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michigan state university
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Citations: 44
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