Estimating the Equity Premium
John Campbell ()
Scholarly Articles from Harvard University Department of Economics
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.
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Published in Canadian Journal of Economics
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Working Paper: Estimating the Equity Premium (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:hrv:faseco:3196339
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