The Expected Value Premium
dc.contributor.author | Zhang, Lu | |
dc.contributor | Petkova, Ralitsa | |
dc.contributor | Chen, Long | |
dc.date.accessioned | 2006-10-12T19:44:15Z | |
dc.date.available | 2006-10-12T19:44:15Z | |
dc.date.issued | 2006-09 | |
dc.identifier | 1049 | en |
dc.identifier.uri | https://hdl.handle.net/2027.42/48731 | |
dc.description.abstract | Fama 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.extent | 316246 bytes | |
dc.format.mimetype | application/pdf | |
dc.language.iso | en_US | |
dc.subject | The value premium | en |
dc.subject | expected returns | en |
dc.subject | dividend growth | en |
dc.subject | dividend price ratio | en |
dc.subject.classification | Finance | en |
dc.title | The Expected Value Premium | en |
dc.type | Working Paper | en_US |
dc.subject.hlbsecondlevel | Economics | en_US |
dc.subject.hlbtoplevel | Business | en_US |
dc.contributor.affiliationum | Ross School of Business | en |
dc.contributor.affiliationother | Case Western Reserve University - Department of Banking & Finance | en |
dc.contributor.affiliationother | Michigan State University - Department of Finance | en |
dc.contributor.affiliationumcampus | Ann Arbor | |
dc.description.bitstreamurl | http://deepblue.lib.umich.edu/bitstream/2027.42/48731/1/1049-Lu.pdf | en_US |
dc.owningcollname | Business, Stephen M. Ross School of - Working Papers Series |
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