The Realized Equity Premium has been Higher than Expected: Further Evidence
AbstractWe 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 inancial 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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Bibliographic InfoPaper provided by Center for Research on Pensions and Welfare Policies, Turin (Italy) in its series CeRP Working Papers with number 29.
Length: 31 pages
Date of creation: Dec 2002
Date of revision:
Other versions of this item:
- Marco Taboga, 2002. "The realized equity premium has been higher than expected: further evidence," Finance 0210004, EconWPA.
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