| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP15610 |
| DP15610 The Expected Return on Risky Assets: International Long-run Evidence | |
| Dmitry Kuvshinov; Kaspar Zimmermann | |
| 发表日期 | 2020-12-27 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | This paper estimates the expected return on equity and housing for 17 advanced economies between years 1870 and 2015. We show that the expected risky return has been in steady decline, but its trend is markedly different to that in the safe rate. As a consequence, the ex ante risk premium exhibits large secular movements, and risk premia and safe rates are strongly negatively correlated. Our findings suggest that time-varying risk appetite is a key driver of expected risky and safe returns - not only in the short, but also in the long run. |
| 主题 | Economic History ; Financial Economics ; International Macroeconomics and Finance |
| 关键词 | Expected returns Risk premia Real interest rates Return predictability Long-run trends |
| URL | https://cepr.org/publications/dp15610 |
| 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/544623 |
| 推荐引用方式 GB/T 7714 | Dmitry Kuvshinov,Kaspar Zimmermann. DP15610 The Expected Return on Risky Assets: International Long-run Evidence. 2020. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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