The expected value premium

• 成果类型: Article
• 署名作者: Chen, Long; Petkova, Ralitsa; Zhang, Lu
• 署名单位: University of Michigan System; University of Michigan; Michigan State University; Michigan State University's Broad College of Business; Texas A&M University System; Texas A&M University College Station; Mays Business School; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2007.04.001
• 发表日期: 2008
• 页码: 269-280
• 关键词: value; GROWTH; time-varying expected returns; Dividend growth

摘要

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.