August 16, 2010
A meta-analysis of the equity premium
The literature on the equity premium vigorously debates how to measure the premium, what is its size and what determines its variation. This study provides a quantitative survey of the literature through 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 in measurements by ex ante rather than ex post methods, in more recent periods, and in more developed countries. 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.
Casper van Ewijk
Henri de Groot
Nederlandse financiële stelsel kan schokken opvangen in tijden van economische onzekerheidHigh energy costs have little impact on corporate profitsPurchasing power restored through wage growth, but more people living below the poverty lineProjections March 2023 (CEP 2023), figuresCentraal Economisch Plan (CEP) 2023 - Verdieping