The realized equity premium has been higher than expected: further evidence

Marco Taboga
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Marco Taboga: CeRP

Finance from University Library of Munich, Germany

Abstract: We propose a new approach to the study of stock returns. We develop a simple model to show that, in the long run, the average rate of return on the market portfolio equals the average growth rate of income plus an average payout rate measuring the quantity of financial resources distributed or absorbed by quoted firms. We exploit this framework to calculate expected returns using U.S. stock market data.

Keywords: equity; premium; puzzle; realized; risk; finance; expected (search for similar items in EconPapers)
JEL-codes: G (search for similar items in EconPapers)
Date: 2002-10-17
Note: Type of Document - LaTeX; prepared on IBM Pc; to print on HP;
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https://econwpa.ub.uni-muenchen.de/econ-wp/fin/papers/0210/0210004.pdf (application/pdf)

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Working Paper: The Realized Equity Premium has been Higher than Expected: Further Evidence (2002)
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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpfi:0210004

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