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Did expected returns fall? Evidence from UK size portfolios

Ex post equity returns were extremely high during the latter part of the twentieth century and in particular during the 1990s. Many observers suggest ex post returns have been higher than expected returns. This article suggests, in the case of the UK, that the largest firms primarily cause the appearance of a shift in expected returns during the 1990s. The article presents some novel evidence consistent with an earlier shift in expected returns for small- and medium-sized firms in the early 1980s. However, evidence from structural break tests on valuation ratios is consistent with either moderate changes in long-term expected fundamental growth or long-term expected returns; it is difficult to distinguish statistically between these two competing explanations.