Survival Bias and the Equity Premium Puzzle
Survival Bias and the Equity Premium Puzzle
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生存偏差和股权溢价之谜
DOI：
10.2139/ssrn.301231
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发表时间：
2002
期刊：
影响因子：
--
通讯作者：
Haitao Li
中科院分区：
文献类型：
--
作者：
Yuewu Xu;Haitao Li
之前的作者曾担心，观察到的美国股票溢价可能存在严重的生存偏差。与传统观点相反，我们认为美国数据中的生存偏差不太可能很大。为了得出这一结论，我们引入了一个通用的生存模型框架，并推导出了事前生存概率和平均生存偏差之间的数学关系。这种关系揭示了生存理论面临的根本困难：高度的生存偏见要求市场失灵的预先概率，考虑到全球金融市场的历史，这似乎是不切实际的高概率。
Previous authors have raised the concern that there could be serious survival bias in the observed U.S. equity premium. Contrary to conventional wisdom, we argue that the survival bias in the U.S. data is unlikely to be significant. To reach this conclusion, we introduce a general framework for modeling survival and derive a mathematical relationship between the ex ante survival probability and the average survival bias. This relationship reveals the fundamental difficulty facing the survival argument: High survival bias requires an ex ante probability of market failure, which seems unrealistically high given the history of world financial markets.