股票市场的估值持续时间

Ye Li, Chen Wang
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引用次数: 0

摘要

在科技泡沫的顶峰时期,明年的股息只占市场估值的0.57%。以总市值与一年期股息的比率计算,我们得到基于估值的持续时间为175年。相比之下,在全球金融危机最严重的时候,超过2.2%的市值来自于下一年的股息,这意味着持续时间为46年。是什么推动了估值持续时间?我们发现,市场参与者对一年以上的现金流量信息有限。因此,估值持续时间的增加是由于贴现率的下降,而不是关于长期增长的好消息。因此,估值持续时间负向预测年市场回报,样本外R2为15%,显著优于文献中的其他预测指标。虽然股价股息率反映了整体估值水平,但我们基于估值的持续时间指标捕捉了估值期限结构的斜率。我们表明,作为贴现率代理的估值持续时间是一个关键的状态变量,它在跨越股票市场动态的(潜在)状态空间时增加了价格股息比。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Valuation Duration of the Stock Market
At the peak of the tech bubble, only 0.57% of market valuation comes from dividends in the next year. Taking the ratio of total market value to the value of one-year dividends, we obtain a valuation-based duration of 175 years. In contrast, at the height of the global financial crisis, more than 2.2% of market value is from dividends in the next year, implying a duration of 46 years. What drives valuation duration? We find that market participants have limited information about cash flow beyond one year. Therefore, an increase in valuation duration is due to a decrease in the discount rate rather than good news about long-term growth. Accordingly, valuation duration negatively predicts annual market return with an out-of-sample R2 of 15%, robustly outperforming other predictors in the literature. While the price-dividend ratio reflects the overall valuation level, our valuation-based measure of duration captures the slope of the valuation term structure. We show that valuation duration, as a discount rate proxy, is a critical state variable that augments the price-dividend ratio in spanning the (latent) state space for stock-market dynamics.
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