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The Expected Value Premium

dc.contributor.authorZhang, Lu
dc.contributorPetkova, Ralitsa
dc.contributorChen, Long
dc.date.accessioned2006-10-12T19:44:15Z
dc.date.available2006-10-12T19:44:15Z
dc.date.issued2006-09
dc.identifier1049en
dc.identifier.urihttps://hdl.handle.net/2027.42/48731
dc.description.abstractFama and French (2002) estimate the equity premium using dividend growth rates to measure expected rates of capital gain. We use a similar method to study the value premium. From 1941 to 2005, the expected HML return is on average 6.0% per annum, consisting of an expected dividend-growth component of 4.4% and an expected dividend-price-ratio component of 1.6%. The expected HML return is also countercyclical: a positive, one-standard-deviation shock to real consumption growth lowers this premium by about 0.40%. Unlike the equity premium, there is only mixed evidence suggesting that the expected value premium has declined over time.en
dc.format.extent316246 bytes
dc.format.mimetypeapplication/pdf
dc.language.isoen_US
dc.subjectThe value premiumen
dc.subjectexpected returnsen
dc.subjectdividend growthen
dc.subjectdividend price ratioen
dc.subject.classificationFinanceen
dc.titleThe Expected Value Premiumen
dc.typeWorking Paperen_US
dc.subject.hlbsecondlevelEconomicsen_US
dc.subject.hlbtoplevelBusinessen_US
dc.contributor.affiliationumRoss School of Businessen
dc.contributor.affiliationotherCase Western Reserve University - Department of Banking & Financeen
dc.contributor.affiliationotherMichigan State University - Department of Financeen
dc.contributor.affiliationumcampusAnn Arbor
dc.description.bitstreamurlhttp://deepblue.lib.umich.edu/bitstream/2027.42/48731/1/1049-Lu.pdfen_US
dc.owningcollnameBusiness, Stephen M. Ross School of - Working Papers Series


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