Understanding Two Remarkable Findings about Stock Yields and Growth
解释了股票收益率与预期通胀之间的两个反常规律：收益和股息率随长期预期通胀和无风险利率变动，而分析师对名义增长的预测却几乎不受通胀影响。作者认为这些现象与理性市场一致，关键在于报告收益包含通胀性持有收益。
Two regularities regarding stock prices and expected inflation have received less attention than they deserve. First, earnings and dividend yields move with long-term expected inflation and risk-free rates. Second, analysts’ forecasts of nominal growth, not real growth, vary little with expected inflation. These patterns are remarkable because financial economists predict exactly the opposite. One explanation for these contrary findings is that stock prices are too high (low) when inflation is low (high), because investors confuse nominal and real growth rates. The authors assert that investors are unlikely to be so systematically naive about expected inflation and argue that the contrary evidence is, in fact, consistent with a rational market. The key insight offered by the authors is that reported earnings include inflationary holding gains, which causes higher earnings yields when inflation is high (the first regularity) and, in turn, explains why forecasts of nominal growth need not vary with inflation (the second regularity). <bold>TOPICS:</bold> <ext-link>Portfolio theory</ext-link>, <ext-link>statistical methods</ext-link>, <ext-link>in markets</ext-link>