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The Equity Premium and Structural Breaks / Lubos Pastor, Robert F. Stambaugh.
- Format:
- Book
- Author/Creator:
- Pastor, Lubos.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w7778.
- NBER working paper series no. w7778
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2000.
- Summary:
- 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. Our framework incorporates these features along with a belief that prices are likely to move opposite to contemporaneous shifts in the premium. The estimated premium since 1834 fluctuates between four and six percent and exhibits its sharpest drop in the last decade.
- Notes:
- Print version record
- July 2000.
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