The realized equity premium has been higher than expected: further evidence.

We propose a new approach to the study of stock returns. We develop a simple model to show that, in the long run, the average rate of return on the market portfolio equals the average growth rate of income plus an average payout rate measuring the quantity of financial resources distributed or absorbed by quoted firms. We exploit this framework to calculate expected returns using U.S. stock market data.

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Year of publication:	2002-10-17
Authors:	Taboga, Marco
Institutions:	EconWPA
Keywords:	equity premium puzzle realized risk finance expected

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Extent:	application/pdf
Series:	Finance.
Type of publication:	Book / Working Paper
Notes:	Type of Document - LaTeX; prepared on IBM Pc; to print on HP;
Classification:	G - Financial Economics
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005134724