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Duration-Based Stock Valuation: Reassessing Stock Market Performance and Volatility / Jules H. van Binsbergen.
- Format:
- Book
- Author/Creator:
- van Binsbergen, Jules H.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w27367.
- NBER working paper series no. w27367
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2020.
- Summary:
- Using a panel of international government bond data, I construct fixed income portfolios that match the duration of the dividend strips of the corresponding local aggregate stock market index. I find that these bond portfolios have performed as well as -- if not better than -- their stock counterparts in the past half century while exhibiting similar (or even higher) levels of volatility. These results provide a novel perspective on both the equity risk premium and excess volatility puzzles (bubbles). I present several potential explanations, and discuss further the implications for macroeconomics, monetary economics, asset pricing, and corporate finance.
- Notes:
- Print version record
- June 2020.
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