How the Wealth Was Won: Factor Shares as Market Fundamentals

• 成果类型: Article
• 署名作者: Greenwald, Daniel L.; Lettau, Martin; Ludvigson, Sydney C.
• 署名单位: New York University; National Bureau of Economic Research; University of California System; University of California Berkeley; New York University; Center for Economic & Policy Research (CEPR)
• 刊物名称: JOURNAL OF POLITICAL ECONOMY
• ISSN/ISSBN: 0022-3808
• DOI: 10.1086/734089
• 发表日期: 2025
• 页码: 1083-1132
• 关键词: TIME-VARYING RISK; stock-market; rare disasters; interest-rates; term structure; cross-section; long-run; asset; consumption; explanation

摘要

Why does the stock market rise and fall? From 1989 to 2017, the real per capita value of corporate equity increased at a 7.2% annual rate. We estimate that 40% of this increase was attributable to a reallocation of rewards to shareholders in a decelerating economy, primarily at the expense of labor compensation. Economic growth accounted for just 25% of the increase, followed by a lower risk price (21%) and lower interest rates (14%). The period 1952-88 experienced only one-third as much growth in market equity, but economic growth accounted for more than 100% of it.