The equity premium

• 成果类型: Article
• 署名作者: Fama, EF; French, KR
• 署名单位: University of Chicago; Dartmouth College
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/1540-6261.00437
• 发表日期: 2002
• 页码: 637-659
• 关键词: EXPECTED RETURNS; stock returns; forecasts

摘要

We estimate the equity premium using dividend and earnings growth rates to measure the expected rate of capital gain. Our estimates for 1951 to 2000, 2.55 percent and 4.32 percent, are much lower than the equity premium produced by the average stock return, 7.43 percent. Our evidence suggests that the high average return for 1951 to 2000 is due to a decline in discount rates that produces a large unexpected capital gain. Our main conclusion is that the average stock return of the last half-century is a lot higher than expected.