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 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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Bibliographic InfoPaper provided by EconWPA in its series Finance with number 0210004.
Date of creation: 17 Oct 2002
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equity premium puzzle realized risk finance expected;
Other versions of this item:
- Marco Taboga, 2002. "The Realized Equity Premium has been Higher than Expected: Further Evidence," CeRP Working Papers 29, Center for Research on Pensions and Welfare Policies, Turin (Italy).
- G - Financial Economics
This paper has been announced in the following NEP Reports:
- NEP-ALL-2002-10-23 (All new papers)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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