A meta-analysis of the equity premium
Casper Ewijk (),
Henri de Groot () and
CPB Discussion Paper from CPB Netherlands Bureau for Economic Policy Analysis
The literature on the equity premium vigorously debates how to measure the premium, what is its size and what determines its variation. This study provides a quantitative survey of the literature through 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 in measurements by ex ante rather than ex post methods, in more recent periods, and in more developed countries. 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.
JEL-codes: D53 E44 G12 N20 (search for similar items in EconPapers)
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Journal Article: A meta-analysis of the equity premium (2012)
Working Paper: A Meta-Analysis of the Equity Premium (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:cpb:discus:156
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