Stare Down the Barrel and Center the Crosshairs: Targeting the Ex Ante Equity Premium

R. Donaldson, M. Kamstra, Lisa A. Kramer
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引用次数: 7

Abstract

The equity premium of interest in theoretical models is the extra return investors anticipate when purchasing risky stock instead of risk-free debt. Unfortunately, we do not observe this ex ante premium in the data; we only observe the returns that investors actually receive ex post, after they purchase the stock and hold it over some period of time during which random economic shocks affect prices. Over the past century U.S. stocks have returned roughly 6 percent more than risk-free debt, which is higher than warranted by standard economic theory; hence the "equity premium puzzle." In this paper we devise a method to simulate the distribution from which ex post equity premia are drawn, conditional on various assumptions about investors' ex ante equity premium. Comparing statistics that arise from our simulations with key financial characteristics of the U.S. economy, including dividend yields, Sharpe ratios, and interest rates, suggests a much narrower range of plausible equity premia than has been supported to date. Our results imply that the true ex ante equity premium likely lies very close to 4 percent.
盯着枪管,瞄准准星:瞄准事前股权溢价
理论模型中的权益溢价是指投资者购买有风险的股票而非无风险的债券时所期望的额外收益。不幸的是,我们没有在数据中观察到这种事前溢价;我们只观察投资者在购买股票并持有一段时间后实际获得的回报,在这段时间内,随机的经济冲击会影响价格。在过去的一个世纪里,美国股票的回报率比无风险债券高出约6%,这高于标准经济理论所保证的水平;因此出现了“股票溢价之谜”。在本文中,我们设计了一种方法,以投资者事前股权溢价的各种假设为条件,模拟得出事后股权溢价的分布。将我们模拟得出的统计数据与美国经济的关键金融特征(包括股息收益率、夏普比率和利率)进行比较,发现股票溢价的合理范围比迄今为止所支持的要小得多。我们的结果表明,真正的事前股权溢价可能非常接近4%。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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