Are Stocks Riskier over the Long Run? Taking Cues from Economic Theory

• 成果类型: Article
• 署名作者: Avramov, Doron; Cederburg, Scott; Lucivjanska, Katarina
• 署名单位: Hebrew University of Jerusalem; Chinese University of Hong Kong; University of Arizona; University of Pavol Jozef Safarik Kosice
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhx079
• 发表日期: 2018
• 页码: 556
• 关键词: asset pricing-models; Return predictability; prospect-theory; Mutual funds; consumption; prices; priors; equilibrium; uncertainty; PERSPECTIVE

摘要

We study whether stocks are riskier or safer in the long run from the perspective of Bayesian investors who employ the long-run risk, habit formation, or prospect theory models to form prior beliefs about return dynamics. Economic theory delivers important guidance for long-run investment opportunities. Specifically, incorporating prior information from the habit formation or prospect theory models reinforces beliefs in mean reversion and inferences that stocks are safer over longer horizons. Conversely, investors with long-run risk priors perceive weaker mean reversion and riskier equities. Model-based information is particularly important for inferences about uncertainty in the dividend growth component of returns.