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The Equity Premium: UK Industry Evidence

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  • Andrew Vivian
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    Abstract

    Recent US research has suggested that market expected returns have fallen. Most studies propose this fall in market expected returns occurred during the 1990’s. Our UK empirical analysis finds a fall in expected returns in the 1990’s for the market index, but, in general, this is not evident across many segments of the market. Specifically,we find for the majority of UK industries a) over recent decades there has not been a general or overall fall in expected returns and b) there was not a common decline in expected returns during the 1990’s. We propose changing industry composition of the market portfolio rather than a decline in systematic risk is primarily responsible for this recent proposed fall in value-weighted market returns.

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    Bibliographic Info

    Paper provided by Centre for Research into Industry, Enterprise, Finance and the Firm in its series CRIEFF Discussion Papers with number 0702.

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    Date of creation: Mar 2007
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    Handle: RePEc:san:crieff:0702

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    Keywords: Equity Premium; Declining Returns; Industry Composition.;

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    1. Campbell, John Y & Shiller, Robert J, 1988. " Stock Prices, Earnings, and Expected Dividends," Journal of Finance, American Finance Association, American Finance Association, vol. 43(3), pages 661-76, July.
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