The Expected Value Premium

Long Chen, Ralitsa Petkova, Lu Zhang

Fama and French (2002) estimate the equity premium using dividend growth rates to measure the expected rate of capital gain. We use similar methods to study the value premium. From 1941 to 2002, the expected HML return is on average 5.1% per annum, consisting of an expected-dividend-growth component of 3.5% and an expected-dividend-to-price component of 1.6%. The ex-ante HML return is also countercyclical: a positive, one-standard-deviation shock to real consumption growth rate lowers this premium by about 0.45%. Unlike the equity premium, there is only mixed evidence suggesting that the value premium has declined over time

MoreLess

Year of publication:	May 2006
Authors:	Chen, Long
Other Persons:	Zhang, Lu (contributor) ; Petkova, Ralitsa (contributor)
Institutions:	National Bureau of Economic Research (contributor)
Publisher:	Cambridge, Mass : National Bureau of Economic Research
Subject:	Portfolio-Management \| Portfolio selection \| Aktie \| Share \| Marktwert \| Market value \| VAR-Modell \| VAR model \| Vermögen \| Wealth \| Rendite \| Yield \| Buchwert \| Book value

freely available

Full text |

More access options

doi.org

Check Google Scholar

In German libraries (KVK)

I need help

Extent:	1 Online-Ressource
Series:	NBER working paper series ; no. w12183
Type of publication:	Book / Working Paper
Language:	English
Notes:	Mode of access: World Wide Web System requirements: Adobe [Acrobat] Reader required for PDF files Hardcopy version available to institutional subscribers.
Other identifiers:	10.3386/w12183 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012466485