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

股票是實物資産嗎？股票市場的粘性貼現率

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

摘要：根據地方通貨膨脹的變化，地方股市會緩慢地進行調整。當地方通貨膨脹率上升時，本地投資者持有的本地股票的實際收益就會随之降低，而本地債券或外國股票的實際收益則不會這樣，這表明本地股票市場的投資者會使用粘性的長期名義貼現率，在通貨膨脹率上升時這種貼現率過低，因為這些投資者很難更新貼現率的通貨膨脹預期。通脹預期中的少量粘性足以與數據中通貨膨脹引起的實際股票回報可預測性相匹配。我們也考慮了其他的解釋，例如名義現金流量外推法。

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.

原文鍊接：

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

翻譯：何杉