| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w25579 |
| 来源ID | Working Paper 25579 |
| Long-Term Discount Rates Do Not Vary Across Firms | |
| Matti Keloharju; Juhani T. Linnainmaa; Peter Nyberg | |
| 发表日期 | 2019-02-25 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | Long-term expected returns appear to vary little, if at all, in the cross section of stocks. We devise a bootstrapping procedure that injects small amounts of variation into expected returns and show that even negligible differences in expected returns, if they existed, would be easy to detect. Markers of such differences, however, are absent from actual stock returns. Our estimates are consistent with production-based asset pricing models such as Berk, Green, and Naik (1999) and Gomes, Kogan, and Zhang (2003) in which firms' risks change over time. We show that long-term reversals in stock returns are the consequence of the rapid convergence in expected returns. Our results imply stock market anomalies have only a limited effect on firm valuations. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Corporate Finance |
| URL | https://www.nber.org/papers/w25579 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/583253 |
| 推荐引用方式 GB/T 7714 | Matti Keloharju,Juhani T. Linnainmaa,Peter Nyberg. Long-Term Discount Rates Do Not Vary Across Firms. 2019. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w25579.pdf（2424KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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