THE JOURNAL OF FINANCE.docx
- 文档编号:6229076
- 上传时间:2023-01-04
- 格式:DOCX
- 页数:48
- 大小:42.76KB
THE JOURNAL OF FINANCE.docx
《THE JOURNAL OF FINANCE.docx》由会员分享,可在线阅读,更多相关《THE JOURNAL OF FINANCE.docx(48页珍藏版)》请在冰豆网上搜索。
THEJOURNALOFFINANCE
THEJOURNALOFFINANCE.
RationalAssetPrices
GEORGEM.CONSTANTINIDES*
ABSTRACT
Themean,covariability,andpredictabilityofthereturnofdifferentclassesof
financialassetschallengetherationaleconomicmodelforanexplanation.The
unconditionalmeanaggregateequitypremiumisalmostsevenpercentperyear
andremainshighafteradjustingdownwardsthesamplemeanpremiumbyintroducing
priorbeliefsaboutthestationarityoftheprice–dividendratioandthe~non!
forecastability
ofthelong-termdividendgrowthandprice–dividendratio.Recognition
thatidiosyncraticincomeshocksareuninsurableandconcentratedinrecessions
contributestowardanexplanation.Alsoborrowingconstraintsovertheinvestors’
lifecyclethatshiftthestockmarketrisktothesavingmiddle-agedconsumers
contributetowardanexplanation.
Acentralthemeinfinanceandeconomicsisthepursuitofaunifiedtheory
oftherateofreturnacrossdifferentclassesoffinancialassets.Inparticular,
weareinterestedinthemean,covariability,andpredictabilityofthereturn
offinancialassets.Atthemacrolevel,westudytheshort-termrisk-free
rate,thetermpremiumoflong-termbondsovertherisk-freerate,andthe
aggregateequitypremiumofthestockmarketovertherisk-freerate.At
themicrolevel,westudythepremiumofindividualstockreturnsandof
classesofstocks,suchasthesmall-capitalizationversuslarge-capitalization
stocks,the“value”versus“growth”stocks,andthepastlosingversuswinning
stocks.
Theneoclassicalrationaleconomicmodelisaunifiedmodelthatviews
thesepremiaastherewardtorisk-averseinvestorsthatprocessinformation
rationallyandhaveunambiguouslydefinedpreferencesoverconsumptionthat
typically~butnotnecessarily!
belongtothevonNeumann–Morgensternclass.
Naturally,thetheoryallowsformarketincompleteness,marketimperfections,
informationalasymmetries,andlearning.Thetheoryalsoallowsfor
differencesamongassetsforliquidity,transactioncosts,taxstatus,andother
institutionalfactors.
Thecauseofmuchanxietyoverthelastquarterofacenturyisevidence
interpretedasfailureoftherationaleconomicparadigmtoexplaintheprice
levelandtherateofreturnoffinancialassetsbothatthemacroandmicro
*UniversityofChicagoandNBER.IthankJohnCampbell,GeneFama,ChrisGeczy,Lars
Hansen,JohnHeaton,RajnishMehra,L’ubosˇPástor,DickThaler,andparticularlyAlonBrav
andJohnCochrane,fortheirinsightfulcommentsandconstructivecriticism.Finally,Ithank
LiorMenzlyforhisexcellentresearchassistanceandinsightfulcommentsthroughoutthisproject.
Naturally,Iremainresponsibleforerrors.
1567
TheJournalofFinance
levels.Acelebratedexampleofsuchevidence,althoughbynomeanstheonly
one,isthefailureoftherepresentative-agentrationaleconomicparadigmto
accountforthelargeaveragepremiumoftheaggregatereturnofstocksover
short-termbondsandthesmallaveragereturnofshort-termbondsfromthe
lastquarterofthe19thcenturytothepresent.Dubbedthe“EquityPremium
Puzzle”byMehraandPrescott~1985!
ithasgeneratedacottageindustry
ofrationalandbehavioralexplanationsofthelevelofassetprices
andtheirrateofreturn.
Anotherexampleisthelargeincreaseinstockpricesintheearlyand
middle1990s,whichFederalReserveChairmanAlanGreenspandecriedas
“IrrationalExuberance”evenbeforetheunprecedentedfurtherincreasein
stockpricesandprice–dividendratiosinthelate1990s.
Myobjectiveistorevisitsomeofthisevidenceandexploretheextenttowhich
therationaleconomicparadigmexplainsthepricelevelandtherateofreturn
offinancialassetsoverthepast100.
years,bothatthemacroandmicrolevels.
InSectionI,Ireexaminethestatisticalevidenceonthesizeoftheunconditional
meanoftheaggregateequityreturnandpremium.First,Idrawa
sharpdistinctionbetweenconditional,short-termforecastsofthemeanequity
returnandpremiumandestimatesoftheunconditionalmean.Iarguethat
thecurrentlylowconditionalshort-termforecastsofthereturnandpremium
donotlessentheburdenoneconomictheorytoexplainthelargeunconditional
meanequityreturnandpremium,asmeasuredbytheirsample
averageoverthepast130years.Second,Iarguethateventhoughonemay
introduceone’sownstrongpriorbeliefsandadjustdownwardsthesample-
averageestimateofthepremium,theunconditionalmeanequitypremiumis
atleast6percentperyearandtheannualSharperatioisatleast32percent.
Thesenumbersarelargeandcallforaneconomicexplanation.
InSectionII,Idiscusslimitationsofthecurrenttheorytoexplainempirical
regularities.Iarguethatpercapitaconsumptiongrowthcovariestoo
littlewiththereturnofmostclassesoffinancialassetsandthisimpliesthat
theobservedaggregateequityreturn,thelong-termbondreturn,andthe
observedreturnsofvarioussubclassesoffinancialassetsaretoolarge,too
variable,andtoopredictable.
Intheremainingsections,Irevisitandexaminetheextenttowhichwe
canexplaintheassetreturnsbyrelaxingtheassumptionsofcompleteconsumption
insurance,perfectmarkets,andtime-separablepreferences.Asthe
readerwillreadilyobserve—andIoffermyapologies—mychoiceofissuesis
eclecticandmirrorsinpartmyownresearchinterests.
InSectionIII,Ishowthatidiosyncraticincomeshocksconcentratedin
periodsofeconomicrecessionplayakeyroleingeneratingthemeanequity
premium,thelowrisk-freerate,andthepredictabilityofreturns.Iargue
thatinsufficientattentionhasbeenpaidtothefactthattheannualaggregate
laborincomeexceedsannualdividendsbyafactorofover20.Laborincome
isbyfarthesinglemostimportantsourceofhouseholdsavingsandconsumption.
Theshockstolaborincomeareuninsurableandpersistentand
arrivewithgreaterfrequencyduringeconomiccontractions.Idiosyncratic
RationalAssetPrices
incomeshocksgoalongwaytowardexplainingtheunconditionalmoments
ofassetreturnsandthepredictabilityofreturns.Theconstructofpercapita
consumptionislargelyirrelevantinexplainingthebehaviorofassetreturns
becauseidiosyncraticincomeshocksareaveragedoutinpercapitaconsumption.
InSectionIV,Ishowthatborrowingconstraintsoverthelifecycleplayan
importantroleinsimultaneouslyaddressingtheaboveissuesandthedemand
forbonds.Iarguethatinsufficientattentionhasbeenpaidtothe
consumers’lifecycleconsumptionandsavingsdecisionsinamarketwith
borrowingconstraints.Theseconsiderationsareimportantinaddressingthe
limitedparticipationofconsumersinthecapitalmarkets,theirrelevance
oftheconstructofpercapitaconsumption,andthedemandforshort-term
bondsbyconsumerswithmoderateriskaversion,giventhatequitiesearn
onaveragealargepremiumovershort-termbonds.
InSectionV,Idiscusstheroleoflimitedmarketparticipation.InSection
VI,Idiscusstheroleofhabitpersistenceinaddressingthesameclass
ofissues.InSectionVII,Iconcludethattheobservedassetreturnsdonot
supportthecaseforabandoningtherationaleconomictheoryasournull
hypothesis.Muchmoreremainstobedonetofullyexploittheramifications
oftherationalasset-pricingparadigm.
I.HowLargeIstheEquityPremium?
TheaveragepremiumofthearithmeticrateofreturnoftheS&PComposite
Indexovertherisk-freerate,measuredoverthelast130years,is
almost7percentandtheannualSharperatiois36percent.Iftheequity
premiumisastationaryprocess,thentheaveragepremiumisanunbiased
estimateoftheunconditionalmeanequitypremium.Onemayintroduce
one’sownpriorbeliefsandshaveabout1percentoffthepremium.Thepremium
andtheSharperatioarestilllargeandchallengeeconomictheoryfor
anexplanation.
InTableI,Ireportthesamplemeanoftheannualarithmeticaggregate
equityreturnandoftheequitypremium.Iproxytheaggregateequityreturn
withtheS&PCompositeIndexreturn.Iproxytheannualrisk-freerate
withtherolled-overreturnonthree-monthTreasurybillsandcertificates.
ThereportedrealreturnisCPI-adjustedforinflation.Overtheperiod1872
to2000,thesamplemeanoftherealequityreturnis8.9percentandofthe
premiumis6.9percent.Overtheperiod1926to2000,thesamplemeanof
theequityreturnis9.7percentandthatofthepremiumis9.3percent.Over
thepostwarperiod1951to2000,thesamplemeanoftheequityreturnis
9.9percentandthatofthepremiumis8.7percent.Thesesamplemeansare
large.Siegel~1998,1999!
IbbotsonAssociates~2001!
IbbotsonandChen
~2001!
Dimson,Marsh,andStaunton~2002!
FamaandFrench~2002!
Mehra
andPrescott~2002!
andseveralothersreportthesamplemeansoftheequity
returnandpremiumintheUnitedStatesandothercountriesandconclude
thattheyarelarge.Somedifferencesarisebasedontheproxyusedforthe
risk-freerate.
TheJournalofFinance
TableI
TheEquityReturnandPremium
Thistableshowsthesamplemeanandstandarddeviationoftheannualizedrealarithmetic
returnontheS&PCompositeIndextotalreturnseries,thesamplemeanoftherealrisk-free
rate,andthesamplemeanoftheequitypremium.Thearithmeticrateofreturnonequityfrom
thebeginningtotheendofyeartisdefinedasRt_1.
~Pt_1.
Dt_1.
Pt!
0Pt,wherePtisthereal
priceoftheaggregateequityatthebeginningofyeartandDt_1istheaggregate
- 配套讲稿:
如PPT文件的首页显示word图标,表示该PPT已包含配套word讲稿。双击word图标可打开word文档。
- 特殊限制:
部分文档作品中含有的国旗、国徽等图片,仅作为作品整体效果示例展示,禁止商用。设计者仅对作品中独创性部分享有著作权。
- 关 键 词:
- THE JOURNAL OF FINANCE
![提示](https://static.bdocx.com/images/bang_tan.gif)