| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP3123
|
| DP3123 Private States and the Enforcement of Property Rights - Theory and Evidence on the Origins of the Sicilian Mafia |
| Oriana Bandiera
|
| 发表日期 | 2002
|
| 出版年 | 2002
|
| 语种 | 英语
|
| 摘要 | Are excess stock market returns predictable over time and, if so, at what horizons and with which economic indicators? Can stock return predictability be explained by changes in stock market volatility? How does the mean return per unit risk change over time? This chapter reviews what is known about the time-series evolution of the risk-return tradeoff for stock market investment, and presents some new empirical evidence using a proxy for the log consumption-aggregate wealth ratio as a predictor of both the mean and volatility of excess stock market returns. We characterize the risk-return tradeoff as the conditional expected excess return on a broad stock market index divided by its conditional standard deviation, a quantity commonly known as the Sharpe ratio. Our own investigation suggests that variation in the equity risk-premium is strongly negatively linked to variation in market volatility, at odds with leading asset pricing models. Since the conditional volatility and conditional mean move in opposite directions, the degree of countercyclicality in the Sharpe ratio that we document here is far more dramatic than that produced by existing equilibrium models of financial market behaviour, which completely miss the sheer magnitude of variation in the price of stock market risk. |
| 主题 | Financial Economics
|
| 关键词 | Sharpe ratio
Expected returns
Volatility
Consumption
|
| URL | https://cepr.org/publications/dp3123
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/532147
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推荐引用方式
GB/T 7714 |
Oriana Bandiera. DP3123 Private States and the Enforcement of Property Rights - Theory and Evidence on the Origins of the Sicilian Mafia. 2002.
|
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