The Review of Financial Studies, Volume 31, Issue 2, 1 February 2018, Pages 556–594

从长期来看，股票风险更大吗?从经济理论中寻找线索

作者：Doron Avramov（Hebrew University of Jerusalem and Chinese University of Hong Kong）

Scott Cederburg（University of Arizona）

Katarína Lu?ivjanská（Pavol Jozef ?afárik University in Ko?ice）

摘要：我们研究从使用长期风险、习惯形成或前景理论模型对收益动态形成先验信念的贝叶斯投资者的角度来看，股票的长期收益是更高风险还是更安全。经济理论为长期投资机会提供了重要的指导。具体地说，将从习惯形成或前景理论模型中得出的先验信息结合起来，会强化均值回归的信念，并推断出股票在较长时间内更安全。相反，具有长期风险先验信息的投资者对均值回归的信念更弱，并认为股票风险更高。基于模型的信息对于收益中股利增长不确定性的推断尤其重要。

Are Stocks Riskier over the Long Run? Taking Cues from Economic Theory

Doron Avramov（Hebrew University of Jerusalem and Chinese University of Hong Kong）；Scott Cederburg（University of Arizona）；Katarína Lu?ivjanská（Pavol Jozef ?afárik University in Ko?ice）

ABSTRACT

We study whether stocks are riskier or safer in the long run from the perspective of Bayesian investors who employ the long-run risk, habit formation, or prospect theory models to form prior beliefs about return dynamics. Economic theory delivers important guidance for long-run investment opportunities. Specifically, incorporating prior information from the habit formation or prospect theory models reinforces beliefs in mean reversion and inferences that stocks are safer over longer horizons. Conversely, investors with long-run risk priors perceive weaker mean reversion and riskier equities. Model-based information is particularly important for inferences about uncertainty in the dividend growth component of returns.

原文链接：https://academic.oup.com/rfs/article-abstract/31/2/556/3964632?redirectedFrom=fulltext

翻译：黄涛