Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/86673
Authors: 
van Ewijk, Casper
de Groot, Henri L.F.
Santing, Coos
Year of Publication: 
2010
Series/Report no.: 
Tinbergen Institute Discussion Paper 10-078/3
Abstract: 
The equity premium is a key parameter in asset allocation policies. There is a vigorous debate in the literature regarding the actual measurement of the equity premium, its size and the determinants of its variation. This study aims to take stock of this literature by means of a meta-analysis. We identify how the size of the equity premium depends on the way it is measured, along with its evolution over time and its variation across regions in the world. We find that the equity premium is significantly lower if measured by ex ante methods rather than ex post, in more recent periods, and for more developed countries. In addition, looking at the underlying fundamentals, we find that larger volatility in GDP growth tends to raise the equity premium while a higher nominal interest rate has a negative impact on the equity premium.
Subjects: 
equity premium
meta-analysis
JEL: 
D53
E44
G12
N20
Document Type: 
Working Paper

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