The expected value premium

被引：42
|
作者：
Chen, Long [2 ]
Petkova, Ralitsa [3 ]
Zhang, Lu [1 ,4 ]
机构：
[1] Univ Michigan, Stephen M Ross Sch Business, Ann Arbor, MI 48109 USA
[2] Michigan State Univ, Eli Broad Coll Business, E Lansing, MI 48824 USA
[3] Texas A&M Univ, Mays Business Sch, College Stn, TX 77843 USA
[4] NBER, Cambridge, MA 02138 USA
来源：
JOURNAL OF FINANCIAL ECONOMICS | 2008年 / 87卷 / 02期
关键词：
value; growth; time-varying expected returns; dividend growth;
D O I：
10.1016/j.jfineco.2007.04.001
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
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.
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页码：269 / 280
页数：12
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