| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w8172 |
| 来源ID | Working Paper 8172 |
| The Declining U.S. Equity Premium | |
| Ravi Jagannathan; Ellen R. McGrattan; Anna Scherbina | |
| 发表日期 | 2001-03-01 |
| 出版年 | 2001 |
| 语种 | 英语 |
| 摘要 | This study demonstrates that the U.S. equity premium has declined significantly during the last three decades. The study calculates the equity premium using a variation of a formula in the classic Gordon stock valuation model. The calculation includes the bond yield, the stock dividend yield, and the expected dividend growth rate, which in this formulation can change over time. The study calculates the premium for several measures of the aggregate U.S. stock portfolio and several assumptions about bond yields and stock dividends and gets basically the same result. The premium averaged about 7 percentage points during 1926 70 and only about 0.7 of a percentage point after that. This result is shown to be reasonable by demonstrating the roughly equal returns that investments in stocks and consol bonds of the same duration would have earned between 1982 and 1999, years when the equity premium is estimated to have been zero. |
| 主题 | Macroeconomics ; Business Cycles ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w8172 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/565768 |
| 推荐引用方式 GB/T 7714 | Ravi Jagannathan,Ellen R. McGrattan,Anna Scherbina. The Declining U.S. Equity Premium. 2001. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w8172.pdf（508KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
