Long-Term Discount Rates Do Not Vary Across Firms
| Autor: | Matti Keloharju, Juhani T. Linnainmaa, Peter Nyberg |
|---|---|
| Přispěvatelé: | Department of Finance, Dartmouth College, Aalto-yliopisto, Aalto University |
| Jazyk: | angličtina |
| Rok vydání: | 2021 |
| Předmět: |
Change over time
Economics and Econometrics Market efficiency Download Strategy and Management Time-varying risks Developing country Factors Accounting 0502 economics and business Economics Econometrics Production (economics) Capital asset pricing model Stock (geology) 040101 forestry 050208 finance Return predictability 05 social sciences Production-based asset pricing models Bootstrapping (finance) 04 agricultural and veterinary sciences Term (time) 0401 agriculture forestry and fisheries Stock market Finance |
| Popis: | Long-term expected returns appear to vary little, if at all, in the cross section of stocks. We devise a bootstrapping procedure that injects small amounts of variation into expected returns and show that even negligible differences in expected returns, if they existed, would be easy to detect. Markers of such differences, however, are absent from actual stock returns. Our estimates are consistent with production-based asset pricing models such as Berk, Green, and Naik (1999) and Gomes, Kogan, and Zhang (2003) in which firms' risks change over time. We show that long-term reversals in stock returns are the consequence of the rapid convergence in expected returns. Our results imply stock market anomalies have only a limited effect on firm valuations. Institutional subscribers to the NBER working paper series, and residents of developing countries may download this paper without additional charge at www.nber.org. |
| Databáze: | OpenAIRE |
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