Annualized expected returns for the period 1975-2001, derived from Value Line four-year forecasts, are available here as an html file and an ascii file.

For the construction of the annual estimates see the data description in “Using Expectations to test asset pricing models” by Alon Brav, Reuven Lehavy, and Roni Michaely, Financial Management, Autumn 2005.

 

Some recent papers in which the data has been employed are:

“Costs of Equity and Earnings Attributes,” by Jennifer Francis, Ryan LaFond, Per Olsson, and Katherine Schipper. The Accounting Review 79(4), October 2004, pg. 967-1010.

“Earnings Surprises and the Cost of Equity Capital,” by Michael B Mikhail, Beverly R Walther, Richard H Willis. Journal of Accounting, Auditing & Finance 19(4), Fall 2004, pg. 491.

 

This data is provided for academic use only.