The Equity Premium: UK Industry Evidence
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.
|Date of creation:||Mar 2007|
|Date of revision:|
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- Campbell, John & Shiller, Robert, 1988.
"Stock Prices, Earnings, and Expected Dividends,"
3224293, Harvard University Department of Economics.
- John Y. Campbell & Robert J. Shiller, 1988. "Stock Prices, Earnings and Expected Dividends," Cowles Foundation Discussion Papers 858, Cowles Foundation for Research in Economics, Yale University.
- John Y. Campbell & Robert J. Shiller, 1988. "Stock Prices, Earnings and Expected Dividends," NBER Working Papers 2511, National Bureau of Economic Research, Inc.
- Campbell, J.Y. & Shiller, R.J., 1988. "Stock Prices, Earnings And Expected Dividends," Papers 334, Princeton, Department of Economics - Econometric Research Program.
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