Duration-based stock valuation: Reassessing stock market performance and volatility

• 成果类型: Article
• 署名作者: van Binsbergen, Jules H.
• 署名单位: University of Pennsylvania; National Bureau of Economic Research; Centre for Economic Policy Research - UK
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2026.104248
• 发表日期: 2026-04
• 页码: 104248
• 关键词: Equity duration; stock market performance; equity premium; excess volatility; Secular stagnation; consumption; yield; expectations; prices

摘要

Using a panel of international government bond data, I construct fixed income portfolios that match the duration of the dividend strips of the local aggregate stock market index. I find that these bond portfolios have similar realized return performance as their stock counterparts while also exhibiting similar or higher levels of volatility. These results provide novel insights regarding the equity risk premium and excess volatility puzzles (bubbles) and their measurement. I present several potential explanations, including secular stagnation, and discuss further the implications for macroeconomics, monetary economics, asset pricing, and corporate finance.