Presidential Address: Discount Rates

• 成果类型: Article
• 署名作者: Cochrane, John H.
• 署名单位: University of Chicago; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2011.01671.x
• 发表日期: 2011
• 页码: 1047-1108
• 关键词: CONSUMPTION-BASED EXPLANATION; CROSS-SECTIONAL TEST; Expected returns; equity premium; long-run; variance decomposition; Portfolio decisions; risk-aversion; STOCK; liquidity

摘要

Discount-rate variation is the central organizing question of current asset-pricing research. I survey facts, theories, and applications. Previously, we thought returns were unpredictable, with variation in price-dividend ratios due to variation in expected cashflows. Now it seems all price-dividend variation corresponds to discount-rate variation. We also thought that the cross-section of expected returns came from the CAPM. Now we have a zoo of new factors. I categorize discount-rate theories based on central ingredients and data sources. Incorporating discount-rate variation affects finance applications, including portfolio theory, accounting, cost of capital, capital structure, compensation, and macroeconomics.