The US Equity Return Premium: Past, Present, and Future
The US Equity Return Premium: Past, Present, and Future
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DOI：
10.1257/jep.23.1.193
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发表时间：
2009-12-01
影响因子：
8.4
通讯作者：
Magin, Konstantin
中科院分区：
文献类型：
--
作者：
DeLong, J. Bradford;Magin, Konstantin
一个多世纪以来，美国股市的多元化长线投资一直比债券投资者获得高得多的回报：平均每年6%的回报差距。许多经济学家进行了大量富有创造性和独创性的工作，试图解释所谓的“股票溢价回报之谜”，但到目前为止，还没有一个完全令人满意的答案。我们首先回顾有关股权溢价的事实，然后讨论已提出的一系列解释。我们的结论是，股票溢价之谜尚未解决：它仍然是一个谜。我们预计，股票回报溢价将继续存在，尽管比过去的水平要小，可能是每年4%。这篇论文的定稿是在最近的股市崩盘之前写的。截至2008年10月，我们可以说，股市崩盘并没有从根本上改变我们的结论，反而加强了未来股票溢价可观的理由。)
For more than a century, diversified long-horizon investments in America's stock market have consistently received much higher returns than investors in bonds: a return gap averaging 6 percent per year. An enormous amount of creative and ingenious work by a great many economists has gone into seeking explanations for the so-called "equity premium return puzzle," but so far without a fully satisfactory answer. We first review the facts about the equity premium and then discuss a range of explanations that have been proposed. We conclude that the equity premium puzzle has not been solved: it remains a puzzle. And we anticipate that the equity return premium will continue, albeit at a smaller level than in the past - perhaps four percent per year. (The final draft of this paper was written before the recent stock market crash. As of October 2008, we can say that the crash does not fundamentally alter our conclusions and actually strengthens the case for a substantial future equity premium.)