Viewpoint: Estimating the equity premium

John Y. Campbell ()

Canadian Journal of Economics, 2008, vol. 41, issue 1, pages 1-21

Abstract: Finance theory restricts the time-series behaviour of valuation ratios and links the cross-section of stock prices to the level of the equity premium. This can be used to strengthen the evidence for predictability in stock returns. Steady-state valuation models are useful predictors of stock returns, given the persistence in valuation ratios. A steady-state approach suggests that the world geometric average equity premium fell considerably in the late twentieth century, rose modestly in the early years of the twenty-first century, and was almost 4% at the end of March 2007.

JEL-codes: G12 (search for similar items in EconPapers)
Date: 2008

Downloads: (external link)
http://economics.ca/cgi/xms?jab=v41n1/CJEv41n1p0001.pdf Full text (application/pdf)
Available to subscribers only. Alternative access through JSTOR and Ingenta.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:cje:issued:v:41:y:2008:i:1:p:1-21

Ordering information: This journal article can be ordered from
http://economics.ca/en/membership.php

Access Statistics for this article

Canadian Journal of Economics is edited by David Green

More articles in Canadian Journal of Economics from Canadian Economics Association
Address: Canadian Economics Association Prof. Steven Ambler, Secretary-Treasurer c/o Olivier Lebert, CEA/CJE/CPP Office C.P. 35006, 1221 Fleury Est Montréal, Québec, Canada H2C 3K4
Contact information at EDIRC.
Series data maintained by Prof. Werner Antweiler ().