Equity premia as low as three percent? Evidence from analysts' earnings forecasts for domestic and international stock markets

• 成果类型: Article
• 署名作者: Claus, J; Thomas, J
• 署名单位: Columbia University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/0022-1082.00384
• 发表日期: 2001
• 页码: 1629-1666
• 关键词: cost

摘要

The returns earned by U.S. equities since 1926 exceed estimates derived from theory, from other periods and markets, and from surveys of institutional investors. Rather than examine historic experience, we estimate the equity premium from the discount rate that equates market valuations with prevailing expectations of future flows. The accounting flows we project are isomorphic to projected dividends but use more available information and narrow the range of reasonable growth rates. For each year between 1985 and 1998, we find that the equity premium is around three percent (or less) in the United States and five other markets.