Is there a Positive Risk‐Return Tradeoff? A Forward‐Looking Approach to Measuring the Equity Premium
用戈登股票估值模型前瞻性地计算股权溢价，替代传统的事后平均收益，发现市场风险在短期和长期均被显著定价，支持正向的风险-收益关系。
Abstract This article revisits the puzzling time‐series relation between risk and return on the stock market portfolio. It replaces the standard ex post mean returns with forward‐looking calculations of the equity risk premium derived from the classic Gordon stock valuation model. The article estimates the equity premium for several industrialised markets and finds that conditional market risk is significantly priced in the context of asset pricing theory both in the short‐ and long‐run using various specifications for volatility. Findings herein lend credible support for the presence of a positive intertemporal risk‐return relation and suggest that perhaps ex post realised returns are unjustifiably used to make ex ante inferences regarding expected returns and to motivate asset pricing tests.