Are Stocks Real Assets? Sticky Discount Rates in Stock Markets

• 成果类型: Article
• 署名作者: Katz, Michael; Lustig, Hanno; Nielsen, Lars
• 署名单位: National Bureau of Economic Research
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhw072
• 发表日期: 2017
• 页码: 539
• 关键词: exchange-rates; rational inattention; Risk premium; inflation; returns; prices; explanation; expectations; MODEL; money

摘要

Local stock markets adjust sluggishly to changes in local inflation. When the local rate of inflation increases, local investors subsequently earn lower real returns on local stocks, but not on local bonds or foreign stocks, suggesting that local stock market investors use sticky long-run nominal discount rates that are too low when inflation increases because they are slow to update the inflation expectations in discount rates. Small amounts of stickiness in inflation expectations suffice to match the real stock return predictability induced by inflation in the data. We also consider other explanations, such as nominal cash flow extrapolation.