REVIEW OF FINANCIAL STUDIES·(2017)30(2):539-587 doi:10.1093/rfs/hhw072·First published online: September 22, 2016

股票是实物资产吗？股票市场的粘性贴现率

作者：Michael Katz (AQR Capital Management), Hanno Lustig (Stanford GSB and NBER), Lars Nielsen (AQR Capital Management)

摘要：根据地方通货膨胀的变化，地方股市会缓慢地进行调整。当地方通货膨胀率上升时，本地投资者持有的本地股票的实际收益就会随之降低，而本地债券或外国股票的实际收益则不会这样，这表明本地股票市场的投资者会使用粘性的长期名义贴现率，在通货膨胀率上升时这种贴现率过低，因为这些投资者很难更新贴现率的通货膨胀预期。通胀预期中的少量粘性足以与数据中通货膨胀引起的实际股票回报可预测性相匹配。我们也考虑了其他的解释，例如名义现金流量外推法。

Are Stocks Real Assets? Sticky Discount Rates in Stock Markets

Michael Katz (AQR Capital Management), Hanno Lustig (Stanford GSB and NBER), Lars Nielsen (AQR Capital Management)

ABSTRACT

Local stock markets adjust sluggishly to changes in local inflation. When the local rate of inflation increases, local investors subsequently earn lower real returns on local stocks, but not on local bonds or foreign stocks, suggesting that local stock market investors use sticky long-run nominal discount rates that are too low when inflation increases because they are slow to update the inflation expectations in discount rates. Small amounts of stickiness in inflation expectations suffice to match the real stock return predictability induced by inflation in the data. We also consider other explanations, such as nominal cash flow extrapolation.

原文链接：

http://rfs.oxfordjournals.org/content/30/2/539.abstract

翻译：何杉