Federal Reserve Bank of Minneapolis Research Department Staff Report 313 Average Debt and Equity Returns: Puzzling?
Federal Reserve Bank of Minneapolis Research Department Staff Report 313 Average Debt and Equity Returns: Puzzling?
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明尼阿波利斯联邦储备银行研究部员工报告 313 平均债务和股票回报率：令人困惑？
DOI：
10.3386/w23853
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发表时间：
2004
期刊：
影响因子：
--
通讯作者：
Martin Schnieder
中科院分区：
文献类型：
--
作者：
Ellen R Mcgrattan;Edward C. Prescott;Hanno Lustig;Erzo G. J. Luttmer;Lee E Ohanian;Monika Piazzesi;Martin Schnieder
Mehra and Prescott (1985) found the difference between average equity and debt returns puzzling because it was too large to be a premium for bearing nondiversifiable aggregate risk. Here, we reexamine this puzzle, taking into account some factors ignored by Mehra and Prescott–taxes, regulatory constraints, and diversification costs–and focusing on long-term rather than short-term savings instruments. Accounting for these factors, we find the difference between average equity and debt returns during peacetime in the last century is less than 1 percent, with the average real equity return somewhat under 5 percent, and the average real debt return almost 4 percent. As theory predicts, the real return on debt has been close to the 4 percent average after-tax real return on capital. Similarly, as theory predicts, the real return on equity is equal to the after-tax real return on capital plus a modest premium for bearing nondiversifiable aggregate risk. for their helpful comments. We also thank the NSF for financial support. For a more detailed version of the paper and the data used in this study, see The views expressed herein are those of the authors and not necessarily those of the Federal Reserve Bank of Minneapolis or the Federal Reserve System.
