Nama : Cindi Yola

Npm : 2201203010004
Mk : Seminar Akuntansi Keuangan

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Abstract Fama and French (2002) estimate the equity premium using
dividend growth rates to measure the expected rate of capital
gain. We use similar methods to study the value premium.
From 1941 to 2002, the expected HML return is on average
5.1% per annum, consisting of an expected-dividend-growth
component of 3.5% and an expected-dividend-to-price
component of 1.6%. The ex-ante HML return is also
countercyclical: a positive, one-standard-deviation shock to
real consumption growth rate lowersthis premiumbyabout
0.45%. Unlike the equitypremium, there is only mixed
evidence suggesting that the value premium has declined over
time.

Independent Variable (X) -

Dependent Variable (Y) -

Moderating Variable (s), if -

any

Mediating Variable(s), if any -

Research Gap Penelitian ini adalah pembaharuan dan juga sejalan dari
penelitian yang pernah dilakukan oleh Fama dan French, 2002
Hasil dari penelitian ini sudah sesuai dengan hipotesis awal
penelitian.
Originality Penelitian ini bukan pertama kali dilakuan karena sebelum ini
sudah ada yang melakukan penelitian tentang premium value.

Methodology CRSP monthly stock file, COMPUSTAT annual research file,

Moody’s book equity information.

Result & Conclucion
Artikel ini berhubungan dengan artikel yang dibahas karena
From 1945 to 2005, the expected value premium constructed
from a twoby-three sort on size and book-to-market a` la Fama
and French (1993) is on average 6.1% per annum. This
premium consists of an expected dividend growth component
of 4.4% and an expected dividend price ratio component of
1.7%. In the 1963–2005 subsample, the expected value
premium is on average 6.4% per annum, consisting of an
expected dividend growth component of 4.2% and an expected
dividend price ratio component of 2.2%. Thus, a major portion
of the value premium comes from the dividend growth
component