EmpiricalEvidenceonSecurityReturns幻灯片.pptVIP

Consumption Growth and Market Rates of Return The lower panel of Table 13.6 shows: a high book-to-market ratio is associated with a higher consumption beta larger firm size is associated with a lower consumption beta. Table 13.6 Annual Excess Returns and Consumption Betas Figure 13.6 Cross-Section of Stock Returns: Fama-French 25 Portfolios, 1954-2003 Expected versus Realized Returns Fama and French – Found an equity premium only after 1949 Capital gains significantly exceeded the dividend growth rate in modern times. Equity premium may be due to unanticipated capital gains. Survivorsh