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| Tekijä: | Asness, C.S. |
| Otsikko: | Stocks versus bonds: Explaining the equity risk premium |
| Lehti: | Financial Analysts' Journal
2000 : MAR/APR, VOL. 56:2, p. 96-113 |
| Asiasana: | Stock markets Risk Rate of return USA |
| Vapaa asiasana: | Yield |
| Kieli: | eng |
| Tiivistelmä: | From the 19th century through the mid-20th century, the dividend yield and earnings yield on stocks generally exceeded the yield on long-term U.S. government bonds, usually by a substantial margin. Since the mid-20th century, however, the situation has radically changed. In addressing this situation, it is argued that the difference between stock yields and bond yields is driven by the long-run difference in volatility btw. stocks and bonds. This model fits 1871-1998 data very well. |
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