Jan 23, 2012
Q & A
In addressing a previous question ("Has the Equity Premium Puzzle Gone Away?"), you suggested that it requires 35 years or more to be reasonably confident of achieving a positive equity premium. Is the time frame similar for the size and value premiums?
EFF/KRF: The volatility of month-by-month size and value premiums is similar to that of the equity premium, and it takes similarly long periods of time to be reasonably confident of achieving positive premiums. One is more confident the longer the period, but no matter how long the period, positive premiums are never a sure thing.
FAMA AND FRENCH ON OTHER TOPICS
CATEGORIES:
Academics (1),
diversification (1),
Economic Policy (16),
Efficient Markets (1),
Financial Markets (23),
Investments (60),
Market Efficiency (18),
Markets Work (1),
Structure (1),
ABOUT FAMA AND FRENCH
Eugene F. Fama
The Robert R.
McCormick Distinguished
Service Professor of
Finance at the University
of Chicago Booth School
of Business
Kenneth R. French
The Carl E. and Catherine
M. Heidt Professor of
Finance at the Tuck
School of Business at
Dartmouth College
SECTIONS
CATEGORIES
Financial Markets (23)
Market Efficiency (18)
Economic Policy (16)
Investments (60)
Market Efficiency (18)
Economic Policy (16)
Investments (60)
SEARCH
Enter a word or phrase to search for.
SUBSCRIBE
Enter your e-mail address to receive updates.
This article is distributed for educational purposes and should not be considered investment advice or an offer of any security for sale. This article contains the opinions of the author but not necessarily Dimensional Fund Advisors and does not represent a recommendation of any particular security, strategy or investment product. Dimensional Fund Advisors is an investment advisor registered with the Securities and Exchange Commission. Information contained herein has been obtained from sources believed to be reliable, but is not guaranteed. Past performance is not indicative of future results and no representation is made that the stated results will be replicated.
Dimensional Fund Advisors Ltd. is authorised and regulated in the United Kingdom by the Financial Services Authority (FRN: 150100), is registered in England and Wales under Company No. 02569601 and VAT No. 577327607. The registered office address of Dimensional Fund Advisors Ltd. is 7 Down Street, London, W1J 7AJ, United Kingdom. Dimensional Fund Advisors Ltd. is a subsidiary of Dimensional Fund Advisors.
Dimensional Fund Advisors Ltd. is authorised and regulated in the United Kingdom by the Financial Services Authority (FRN: 150100), is registered in England and Wales under Company No. 02569601 and VAT No. 577327607. The registered office address of Dimensional Fund Advisors Ltd. is 7 Down Street, London, W1J 7AJ, United Kingdom. Dimensional Fund Advisors Ltd. is a subsidiary of Dimensional Fund Advisors.