| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w12183 |
| 来源ID | Working Paper 12183 |
| The Expected Value Premium | |
| Long Chen; Ralitsa Petkova; Lu Zhang | |
| 发表日期 | 2006-05-01 |
| 出版年 | 2006 |
| 语种 | 英语 |
| 摘要 | Fama and French (2002) estimate the equity premium using dividend growth rates to measure the expected rate of capital gain. We use similar methods to study the value premium. From 1941 to 2002, the expected HML return is on average 5.1% per annum, consisting of an expected-dividend-growth component of 3.5% and an expected-dividend-to-price component of 1.6%. The ex-ante HML return is also countercyclical: a positive, one-standard-deviation shock to real consumption growth rate lowers this premium by about 0.45%. Unlike the equity premium, there is only mixed evidence suggesting that the value premium has declined over time. |
| 主题 | Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w12183 |
| 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/569837 |
| 推荐引用方式 GB/T 7714 | Long Chen,Ralitsa Petkova,Lu Zhang. The Expected Value Premium. 2006. |
| 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 | ||
| w12183.pdf（363KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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