| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w27367 |
| 来源ID | Working Paper 27367 |
| Duration-Based Stock Valuation: Reassessing Stock Market Performance and Volatility | |
| Jules H. van Binsbergen | |
| 发表日期 | 2020-06-15 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | Using a panel of international government bond data, I construct fixed income portfolios that match the duration of the dividend strips of the corresponding local aggregate stock market index. I find that these bond portfolios have performed as well as -- if not better than -- their stock counterparts in the past half century while exhibiting similar (or even higher) levels of volatility. These results provide a novel perspective on both the equity risk premium and excess volatility puzzles (bubbles). I present several potential explanations, and discuss further the implications for macroeconomics, monetary economics, asset pricing, and corporate finance. |
| 主题 | Macroeconomics ; Consumption and Investment ; Money and Interest Rates ; Financial Economics ; Financial Markets ; Portfolio Selection and Asset Pricing ; Corporate Finance ; Development and Growth ; Growth and Productivity |
| URL | https://www.nber.org/papers/w27367 |
| 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/585039 |
| 推荐引用方式 GB/T 7714 | Jules H. van Binsbergen. Duration-Based Stock Valuation: Reassessing Stock Market Performance and Volatility. 2020. |
| 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 | ||
| w27367.pdf（408KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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