Are Stocks Really Less Volatile in the Long Run?

• 成果类型: Article
• 署名作者: Pastor, Lubos; Stambaugh, Robert F.
• 署名单位: National Bureau of Economic Research; University of Chicago; University of Pennsylvania
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2012.01722.x
• 发表日期: 2012
• 页码: 431-477
• 关键词: portfolio choice; life-cycle; TEMPORARY COMPONENTS; term structure; Return predictability; transaction costs; mean reversion; prices; consumption; MODEL

摘要

According to conventional wisdom, annualized volatility of stock returns is lower over long horizons than over short horizons, due to mean reversion induced by return predictability. In contrast, we find that stocks are substantially more volatile over long horizons from an investors perspective. This perspective recognizes that parameters are uncertain, even with two centuries of data, and that observable predictors imperfectly deliver the conditional expected return. Mean reversion contributes strongly to reducing long-horizon variance but is more than offset by various uncertainties faced by the investor. The same uncertainties reduce desired stock allocations of long-horizon investors contemplating target-date funds.