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| Author: | Pástor, L. Stambaugh, R.F. |
| Title: | The equity premium and structural breaks |
| Journal: | Journal of Finance
2001 : AUG, VOL. 56:4, p. 1207-1246 |
| Index terms: | EQUITIES PREMIUM BONDS STRUCTURAL CHANGE |
| Language: | eng |
| Abstract: | A long return history is useful in estimating the current equity premium even if the historical distribution has experienced structural breaks. The long series helps not only if the timing of breaks is uncertain but also if one believes that large shifts in the premium are unlikely or that the premium is associated, in part, with volatility. The authors' framework incorporates these features along with a belief that prices are likely to move opposite to contemporaneous shifts in the premium. |
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