| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP7215 |
| DP7215 The Last Refuge of a Scoundrel? Patriotism and Tax Compliance | |
| Kai Konrad; Salmai Qari | |
| 发表日期 | 2009-03-08 |
| 出版年 | 2009 |
| 语种 | 英语 |
| 摘要 | Conventional wisdom views stocks as less volatile over long horizons than over short horizons due to mean reversion induced by return predictability. In contrast, we find stocks are substantially more volatile over long horizons from an investor's perspective. This perspective recognizes that parameters are uncertain, even with two centuries of data, and that observable predictors imperfectly deliver the conditional expected return. We decompose return variance into five components, which include mean reversion and various uncertainties faced by the investor. Although mean reversion makes a strong negative contribution to long-horizon variance, it is more than offset by the other components. Using a predictive system, we estimate annualized 30-year variance to be nearly 1.5 times the 1-year variance. |
| 主题 | Financial Economics |
| 关键词 | Long-run Risk Stock Variance |
| URL | https://cepr.org/publications/dp7215 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/536050 |
| 推荐引用方式 GB/T 7714 | Kai Konrad,Salmai Qari. DP7215 The Last Refuge of a Scoundrel? Patriotism and Tax Compliance. 2009. |
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