EconPapers    
Economics at your fingertips  
 

A meta-analysis of the equity premium

Casper Ewijk (), Henri de Groot () and Santing, A.J. (Coos)

Journal of Empirical Finance, 2012, vol. 19, issue 5, 819-830

Abstract: The equity premium is a key parameter in asset allocation policies. There is a vigorous debate in the literature regarding the actual measurement of the equity premium, its size and the determinants of its variation. This study aims to take stock of this literature by means of a meta-analysis. We identify how the size of the equity premium depends on the way it is measured, along with its evolution over time and its variation across regions in the world. We find that the equity premium is significantly lower if measured by ex ante methods rather than ex post, in more recent periods, and for more developed countries. In addition, looking at the underlying fundamentals, we find that larger volatility in GDP growth tends to raise the equity premium while a higher nominal interest rate has a negative impact on the equity premium.

Keywords: Equity premium; Meta-analysis; Asset allocation policy; Spatial and temporal variation; Price for risk (search for similar items in EconPapers)
JEL-codes: D53 E44 G12 N20 (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0927539812000564
Full text for ScienceDirect subscribers only

Related works:
Working Paper: A meta-analysis of the equity premium (2010) Downloads
Working Paper: A Meta-Analysis of the Equity Premium (2010) Downloads
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: https://EconPapers.repec.org/RePEc:eee:empfin:v:19:y:2012:i:5:p:819-830

Access Statistics for this article

Journal of Empirical Finance is currently edited by R. T. Baillie, F. C. Palm, Th. J. Vermaelen and C. C. P. Wolff

More articles in Journal of Empirical Finance from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

 
Page updated 2019-06-13
Handle: RePEc:eee:empfin:v:19:y:2012:i:5:p:819-830