Is the United States a Lucky Survivor? A Hierarchical Bayesian Approach

• 成果类型: Article
• 署名作者: van Binsbergen, Jules; Hua, Sophia; Peeters, Jonas; Wachter, Jessica
• 署名单位: University of Pennsylvania; National Bureau of Economic Research; Centre for Economic Policy Research - UK
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13452
• 发表日期: 2025
• 页码: 2355-2388
• 关键词: equity premium; rare disasters; rational-expectations; RISK; MARKETS; explain

摘要

Using international data, we quantify the magnitude of survivorship bias in U.S. equity market performance, finding that it explains about one-third of the equity risk premium in the past century. We model the subjective crash belief of an investor who infers the crash risk in the United States by cross-learning from other countries. The U.S. crash probability shows a persistent and widening divergence from the implied global average. We attribute the upward bias in the measured equity premium to crashes that did not occur in-sample and to shocks to valuations resulting from learning about the probability.