The Equity Premium And Structural Breaks / Discussion  

Oleh:

Pastor, Lubos ; Stambaugh, Robert F. ; Wang, Zhenyu

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 56 no. 4 (2001), page 1207-1239.
Topik: MARKETS; studies; rates of return; premiums; history; mathematical models; volatility
Fulltext: p 1207.pdf (453.62KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

A long return history is useful in estimating the current equity premium even if the historical distribution has experienced structural breaks. The long series helps not only if the timing of breaks is uncertain but also if one believes that large shifts in the premium are unlikely or that the premium is associated, in part, with volatility. The framework incorporates these features along with a belief that prices are likely to move opposite to contemporaneous shifts in the premium. The estimated premium since 1834 fluctuates between 4% and 6% and exhibits its sharpest drop in the last decade.

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