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Equity Premia as Low as Three Percent? Evidence from Analysts' Earnings Forecasts for Domestic and International Stock Markets
Abstract
The returns earned by U.S. equities since 1926 exceed estimates derived from theory, from other periods and markets, and from surveys of institutional investors. Rather than examine historic experience, we estimate the equity premium from the discount rate that equates market valuations with prevailing expectations of future flows. The accounting flows we project are isomorphic to projected dividends but use more available information and narrow the range of reasonable growth rates. For each year between 1985 and 1998, we find that the equity premium is around three percent (or less) in the United States and five other markets.
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Cited by
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HAIL, L., & LEUZ, C. (2006) · Journal of Accounting Research · doi:10.1111/j.1475-679x.2006.00209.x · Cited by 1,371
Kothari, S. P., Li, X., & Short, J. E. (2009) · The Accounting Review · doi:10.2308/accr.2009.84.5.1639 · Cited by 1,019
Transparency, Liquidity, and Valuation: International Evidence on When Transparency Matters Most
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Metadata
- Authors
- Claus, J., & Thomas, J.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 2001-10
- Volume
- 56
- Issue
- 5
- Pages
- 1629-1666
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W2149367714
- Cited by
- 1,515
- References
- 0
- FWCI
- 53.23
- Type
- journal article
- Language
- en
- Open access
- closed
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- Claus, J., & Thomas, J. (2001). Equity Premia as Low as Three Percent? Evidence from Analysts' Earnings Forecasts for Domestic and International Stock Markets. The Journal of Finance. https://doi.org/10.1111/0022-1082.00384
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