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U.S. Equity Premium?

| | Posted in: Equity Premium

A subscriber requested measurement of a "premium" associated with U.S. stocks relative to those of other developed markets by looking at the difference in returns between the following two exchange-traded funds (ETF):

  • SPDR S&P 500 (SPY)
  • iShares MSCI EAFE Index Fund (EFA)

Using monthly dividend-adjusted closing prices for these ETFs during August 2001 (limited by EFA) through March 2020, we find that:

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