Why do discount rates vary?

• 成果类型: Article
• 署名作者: Kozak, Serhiy; Santosh, Shrihari
• 署名单位: University System of Maryland; University of Maryland College Park; University of Colorado System; University of Colorado Boulder
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2020.04.004
• 发表日期: 2020
• 关键词: Risk premium; CAPM; ICAPM; Discount rates; Hedging demand

摘要

The price of discount rate risk reveals whether increases in equity risk premia represent good or bad news to rational investors. Employing a new empirical methodology, we find that the price is negative, which suggests that discount rates are high during times of high marginal utility of wealth. Our approach relies on using future realized market returns to consistently estimate covariances of asset returns with the market risk premium. Covariances drive observed patterns in a broad cross section of stock and bond expected returns. (C) 2020 Elsevier B.V. All rights reserved.