TAILIEUCHUNG - Estimating the Real Rate of Return on Stocks Over the Long Term

This paper proposes a simple consumption-based explanation of both the cross-sectional variation in expected stock returns and the countercyclical vari- ation in the equity premium. I use a representative household model, in which intraperiod utility is a constant elasticity of substitution (CES) function of nondurable and durable consumption. The household’s intertemporal utility is Epstein and Zin’s (1991) recursive function, which allows for the separation of the elasticity of intertemporal substitution (EIS) from risk aversion. The durable consumption model (as the model is referred to throughout the paper) nests the nonseparable expected utility model as a special case when EIS is the inverse of risk aversion (Dunn and Singleton (1986),. | Estimating the Real Rate of Return on Stocks Over the Long Term Papers by John Y. Campbell Peter A. Diamond John B. Shoven Presented to the Social Security Advisory Board August 2001 Social Security Advisory Board An independent bipartisan Board created by Congress and appointed by the President and the Congress to advise the President the Congress and the Commissioner of Social Security on matters related to the Social Security and Supplemental Security Income programs. TABLE OF CONTENTS Introduction. 1 Forecasting . Equity Returns in the 21st John Y. Campbell I. Methods for Forcasting II. Current Market III. Implications for Future What Stock Market Returns to Expect for the Future An What Stock Market Returns to Expect for the Future . 17 Peter A. Diamond I. Summary . 17 II. III. Historical IV. Why Future Returns May Differ From Past V. Other Issues . 31 VI. Conclusion . 33 What Are Reasonable Long-Run Rates of Return To Expect on Equities .47 John B. Shoven I. Introduction . 47 II. Dividends Are III. The IV. Steady State Returns . 49 V. The Big Question Future P-E Ratios . 49 VI. The Long-Run Outlook for Equity Rates of VII. Why Won t Equity Returns Be As Good In the 21st Century .51 VIII. The Equity Premium Will Be Lower Because Real Interest Rates Are IX. Which Rate to Use for Projections .52 X. Biographies of Appendix Equity Yield Assumptions Used by the Office of the Chief Actuary Social Security Administration to Develop Estimates for Proposals with Trust Fund and or Individual Account Stephen C. Goss Social Security Advisory .

• Đầu tư Chứng khoán
• multiemployer plans
• multiple employer
• welfare arrangements
• Preemption
• State flexibility
• construction