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- W1971467864 abstract "Fama and French (2002) estimate the equity premium using dividend growth rates to measure expected rates of capital gain. We use a similar method to study the value premium. From 1941 to 2005, the expected HML return is on average 6.0% per annum, consisting of an expected dividend-growth component of 4.4% and an expected dividend-price-ratio component of 1.6%. The expected HML return is also countercyclical: a positive, one-standard-deviation shock to real consumption growth lowers this premium by about 0.40%. Unlike the equity premium, there is only mixed evidence suggesting that the expected value premium has declined over time." @default.
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- W1971467864 date "2006-01-01" @default.
- W1971467864 modified "2023-09-24" @default.
- W1971467864 title "The Expected Value Premium" @default.
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- W1971467864 doi "https://doi.org/10.2139/ssrn.890120" @default.
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