Why do discount rates vary?

被引：7
|
作者：
Kozak, Serhiy [1 ]
Santosh, Shrihari [2 ]
机构：
[1] Univ Maryland, Robert H Smith Sch Business, College Pk, MD 20742 USA
[2] Univ Colorado, Leeds Sch Business, Boulder, CO 80309 USA
来源：
JOURNAL OF FINANCIAL ECONOMICS | 2020年 / 137卷 / 03期
关键词：
Risk premium; CAPM; ICAPM; Discount rates; Hedging demand; ASSET; STOCK; RISK; CONSUMPTION; RETURNS; TESTS; CAPM;
D O I：
10.1016/j.jfineco.2020.04.004
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
The price of discount rate risk reveals whether increases in equity risk premia represent good or bad news to rational investors. Employing a new empirical methodology, we find that the price is negative, which suggests that discount rates are high during times of high marginal utility of wealth. Our approach relies on using future realized market returns to consistently estimate covariances of asset returns with the market risk premium. Covariances drive observed patterns in a broad cross section of stock and bond expected returns. (C) 2020 Elsevier B.V. All rights reserved.
引用
收藏
页码：740 / 751
页数：12
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