The Federal Reserve Board eagle logo links to home page
Skip to: [Printable Version (PDF)] [Bibliography] [Footnotes]
Finance and Economics Discussion Series: Data for paper 2011-14 ♣

The Expected Real Return to Equity

Missaka Warusawitharana

Figure 1: Aggregate earnings. Panel A: Annual data

Time Earnings to Assets
1966 8.173
1967 7.4513
1968 6.812
1969 6.1704
1970 4.783
1971 4.9308
1972 5.3665
1973 6.952
1974 6.8422
1975 5.0776
1976 6.1566
1977 6.4069
1978 6.703
1979 7.6303
1980 6.4929
1981 5.7934
1982 4.2063
1983 4.8013
1984 5.1028
1985 4.913
1986 3.725
1987 4.8244
1988 5.6401
1989 4.6121
1990 4.0109
1991 2.8626
1992 2.9801
1993 3.3489
1994 4.2018
1995 4.5911
1996 5.0174
1997 4.8747
1998 4.091
1999 4.188
2000 3.6973
2001 0.9142
2002 1.923
2003 4.1383
2004 5.2268
2005 5.6573
2006 6.7008
2007 6.315
2008 4.7434
2009 4.3254
Return to Figure 1

Figure 1: Aggregate earnings. Panel B: Quarterly data

Time Earnings to assets (annualized)
1984:Q1 4.8417
1984:Q2 6.0614
1984:Q3 4.933
1984:Q4 4.5965
1985:Q1 3.9855
1985:Q2 4.6916
1985:Q3 3.9446
1985:Q4 4.0573
1986:Q1 3.2769
1986:Q2 4.0703
1986:Q3 3.482
1986:Q4 2.825
1987:Q1 4.026
1987:Q2 4.6537
1987:Q3 4.6266
1987:Q4 4.5543
1988:Q1 4.7247
1988:Q2 5.0962
1988:Q3 4.8016
1988:Q4 5.0142
1989:Q1 4.6382
1989:Q2 4.5668
1989:Q3 3.5772
1989:Q4 3.6749
1990:Q1 3.5797
1990:Q2 3.9538
1990:Q3 3.5646
1990:Q4 2.756
1991:Q1 2.4536
1991:Q2 2.6876
1991:Q3 2.56
1991:Q4 2.1961
1992:Q1 2.6509
1992:Q2 2.9659
1992:Q3 2.7365
1992:Q4 2.9743
1993:Q1 3.121
1993:Q2 3.2489
1993:Q3 3.2549
1993:Q4 3.5325
1994:Q1 3.5784
1994:Q2 4.1645
1994:Q3 4.0697
1994:Q4 4.692
1995:Q1 4.7195
1995:Q2 5.104
1995:Q3 4.6092
1995:Q4 4.7974
1996:Q1 4.8371
1996:Q2 5.117
1996:Q3 4.8772
1996:Q4 5.122
1997:Q1 4.6077
1997:Q2 5.0884
1997:Q3 4.569
1997:Q4 4.8409
1998:Q1 4.6721
1998:Q2 4.2374
1998:Q3 3.526
1998:Q4 3.1382
1999:Q1 3.9062
1999:Q2 4.254
1999:Q3 3.9854
1999:Q4 4.0131
2000:Q1 3.8818
2000:Q2 3.8062
2000:Q3 3.2774
2000:Q4 1.8412
2001:Q1 0.7751
2001:Q2 0.6441
2001:Q3 0.1804
2001:Q4 0.3006
2002:Q1 1.7554
2002:Q2 1.3889
2002:Q3 2.3794
2002:Q4 2.4815
2003:Q1 3.8253
2003:Q2 3.764
2003:Q3 3.9948
2003:Q4 4.5656
2004:Q1 4.8259
2004:Q2 5.1526
2004:Q3 5.2158
2004:Q4 5.4481
2005:Q1 5.0142
2005:Q2 5.9425
2005:Q3 5.5571
2005:Q4 5.798
2006:Q1 5.6926
2006:Q2 6.413
2006:Q3 6.0038
2006:Q4 5.8861
2007:Q1 5.918
2007:Q2 6.4708
2007:Q3 4.7226
2007:Q4 5.625
2008:Q1 5.7727
2008:Q2 6.1568
2008:Q3 5.647
2008:Q4 -0.4301
2009:Q1 1.2422
2009:Q2 4.0166
2009:Q3 4.4548
2009:Q4 5.1733
Return to Figure 1

Figure 2: Time variation in expected returns. Panel A: Annual data

Time Expected return
1966 0.4918
1967 2.1678
1968 3.7651
1969 5.4887
1970 9.8874
1971 9.3938
1972 7.9384
1973 3.4063
1974 3.6876
1975 8.9036
1976 5.5302
1977 4.8024
1978 4.044
1979 1.7523
1980 4.5823
1981 6.6258
1982 11.8506
1983 9.8261
1984 8.8192
1985 9.4531
1986 13.5099
1987 9.7489
1988 -3.6164
1989 1.9943
1990 5.6567
1991 12.6882
1992 12.2273
1993 10.0753
1994 4.4518
1995 2.1143
1996 -0.2205
1997 0.544
1998 5.152
1999 4.5394
2000 7.6457
2001 20.3327
2002 16.3746
2003 4.853
2004 -1.3262
2005 -3.7211
2006 -10.0749
2007 -7.726
2008 1.2483
2009 3.6713
Return to Figure 2

Figure 2: Time variation in expected returns. Panel B: Quarterly data

Time Expected return
1984:Q1 0.7276
1984:Q2 -4.2619
1984:Q3 0.4498
1984:Q4 1.5926
1985:Q1 4.296
1985:Q2 1.2552
1985:Q3 4.5015
1985:Q4 3.9351
1986:Q1 8.0529
1986:Q2 3.87
1986:Q3 7.201
1986:Q4 10.3152
1987:Q1 4.0924
1987:Q2 1.3897
1987:Q3 1.4859
1987:Q4 1.7421
1988:Q1 1.1378
1988:Q2 -0.0474
1988:Q3 0.8652
1988:Q4 0.2024
1989:Q1 1.4448
1989:Q2 1.6979
1989:Q3 6.6332
1989:Q4 6.0502
1990:Q1 6.6182
1990:Q2 4.4553
1990:Q3 6.7084
1990:Q4 10.9632
1991:Q1 13.7716
1991:Q2 11.6067
1991:Q3 12.8057
1991:Q4 14.6122
1992:Q1 11.951
1992:Q2 9.0896
1992:Q3 11.1466
1992:Q4 9.0618
1993:Q1 8.5726
1993:Q2 8.1461
1993:Q3 8.1262
1993:Q4 6.9
1994:Q1 6.6263
1994:Q2 3.3968
1994:Q3 3.8728
1994:Q4 1.2539
1995:Q1 1.1563
1995:Q2 -0.071
1995:Q3 1.5473
1995:Q4 0.8801
1996:Q1 0.7416
1996:Q2 -0.1108
1996:Q3 0.6197
1996:Q4 -0.126
1997:Q1 1.5529
1997:Q2 -0.0237
1997:Q3 1.6899
1997:Q4 0.7301
1998:Q1 1.3245
1998:Q2 3.0303
1998:Q3 6.9389
1998:Q4 8.5152
1999:Q1 4.694
1999:Q2 2.9471
1999:Q3 4.2962
1999:Q4 4.1571
2000:Q1 4.8166
2000:Q2 5.2673
2000:Q3 8.051
2000:Q4 15.7706
2001:Q1 19.2508
2001:Q2 19.6782
2001:Q3 21.1919
2001:Q4 20.7996
2002:Q1 16.051
2002:Q2 17.2472
2002:Q3 14.0141
2002:Q4 13.5431
2003:Q1 5.153
2003:Q2 5.5188
2003:Q3 4.2494
2003:Q4 1.7023
2004:Q1 0.779
2004:Q2 -0.2189
2004:Q3 -0.4115
2004:Q4 -1.2018
2005:Q1 0.2024
2005:Q2 -3.2489
2005:Q3 -1.6225
2005:Q4 -2.5525
2006:Q1 -2.1456
2006:Q2 -7.2568
2006:Q3 -3.7712
2006:Q4 -2.8925
2007:Q1 -3.0404
2007:Q2 -7.7495
2007:Q3 1.1453
2007:Q4 -1.8847
2008:Q1 -2.4546
2008:Q2 -5.0745
2008:Q3 -1.9693
2008:Q4 23.1846
2009:Q1 17.726
2009:Q2 4.1395
2009:Q3 2.0951
2009:Q4 -0.2821
Return to Figure 2

Figure 3: Optimal portfolio allocation to equity

Risk Aversion Coefficient Historical Data Model implied - annual Model implied - quarterly
2 0.9758 0.8049 0.6037
2.1 0.9299 0.7666 0.5748
2.2 0.888 0.7317 0.5484
2.3 0.8496 0.6999 0.5244
2.4 0.8144 0.6706 0.5024
2.5 0.7818 0.6438 0.4821
2.6 0.7519 0.6188 0.4635
2.7 0.7239 0.5958 0.4461
2.8 0.698 0.5743 0.4301
2.9 0.6739 0.5544 0.415
3 0.6514 0.5358 0.4011
3.1 0.6303 0.5184 0.3881
3.2 0.6104 0.5021 0.3758
3.3 0.5918 0.4867 0.3644
3.4 0.5743 0.4723 0.3535
3.5 0.5578 0.4587 0.3434
3.6 0.5422 0.4458 0.3337
3.7 0.5274 0.4337 0.3246
3.8 0.5135 0.4222 0.316
3.9 0.5002 0.4112 0.3078
4 0.4876 0.4009 0.3
4.1 0.4756 0.391 0.2927
4.2 0.4642 0.3816 0.2856
4.3 0.4532 0.3727 0.2789
4.4 0.4429 0.3641 0.2726
4.5 0.4329 0.356 0.2664
4.6 0.4234 0.3481 0.2605
4.7 0.4144 0.3406 0.255
4.8 0.4057 0.3335 0.2496
4.9 0.3973 0.3267 0.2445
5 0.3893 0.32 0.2396
5.1 0.3815 0.3137 0.2349
5.2 0.3742 0.3076 0.2303
5.3 0.3671 0.3018 0.2259
5.4 0.3602 0.2961 0.2217
5.5 0.3536 0.2907 0.2177
5.6 0.3473 0.2854 0.2137
5.7 0.3411 0.2804 0.21
5.8 0.3352 0.2755 0.2062
5.9 0.3294 0.2708 0.2027
6 0.3238 0.2663 0.1994
6.1 0.3186 0.2619 0.1961
6.2 0.3134 0.2576 0.1929
6.3 0.3083 0.2535 0.1898
6.4 0.3034 0.2495 0.1868
6.5 0.2987 0.2456 0.1839
6.6 0.2941 0.2419 0.1812
6.7 0.2897 0.2383 0.1784
6.8 0.2854 0.2347 0.1758
6.9 0.2812 0.2312 0.1732
7 0.2772 0.2279 0.1707
7.1 0.2733 0.2247 0.1683
7.2 0.2694 0.2216 0.1659
7.3 0.2657 0.2186 0.1637
7.4 0.2621 0.2155 0.1614
7.50000000000001 0.2586 0.2126 0.1593
7.6 0.2552 0.2099 0.1571
7.7 0.2519 0.2071 0.1551
7.80000000000001 0.2485 0.2044 0.1531
7.90000000000001 0.2454 0.2018 0.1512
8.00000000000001 0.2423 0.1992 0.1492
8.1 0.2393 0.1968 0.1474
8.20000000000001 0.2363 0.1943 0.1456
8.30000000000001 0.2335 0.192 0.1438
8.40000000000001 0.2307 0.1897 0.1421
8.50000000000001 0.2279 0.1875 0.1404
8.60000000000001 0.2253 0.1853 0.1388
8.70000000000001 0.2227 0.1831 0.1372
8.80000000000001 0.2201 0.1811 0.1356
8.90000000000001 0.2177 0.179 0.1341
9.00000000000001 0.2152 0.177 0.1326
9.10000000000001 0.2128 0.175 0.1312
9.20000000000001 0.2104 0.1731 0.1297
9.30000000000001 0.2082 0.1712 0.1283
9.40000000000001 0.206 0.1694 0.127
9.50000000000001 0.2038 0.1676 0.1256
9.60000000000001 0.2017 0.1658 0.1242
9.70000000000001 0.1996 0.1642 0.1229
9.80000000000001 0.1976 0.1624 0.1217
9.90000000000001 0.1955 0.1608 0.1205
10 0.1936 0.1592 0.1192
Return to Figure 3
♣ This version is optimized for use by screen readers. Descriptions for all mathematical expressions are provided in LaTex format. A printable pdf version is available. Return to Text
Home | Working Papers | Accessibility | Contact us
Last update: March 3, 2011