The Equity Premium: UK Industry Evidence

Andrew Vivian

No 702, CRIEFF Discussion Papers from Centre for Research into Industry, Enterprise, Finance and the Firm

Abstract: Recent US research has suggested that market expected returns have fallen. Most studies propose this fall in market expected returns occurred during the 1990’s. Our UK empirical analysis finds a fall in expected returns in the 1990’s for the market index, but, in general, this is not evident across many segments of the market. Specifically,we find for the majority of UK industries a) over recent decades there has not been a general or overall fall in expected returns and b) there was not a common decline in expected returns during the 1990’s. We propose changing industry composition of the market portfolio rather than a decline in systematic risk is primarily responsible for this recent proposed fall in value-weighted market returns.

Keywords: Equity Premium; Declining Returns; Industry Composition. (search for similar items in EconPapers)
JEL-codes: G12 G15 (search for similar items in EconPapers)
Date: 2007-03
New Economics Papers: this item is included in nep-fmk, nep-rmg and nep-upt
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Persistent link: https://EconPapers.repec.org/RePEc:san:crieff:0702

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