The Equity Premium and Structural Breaks
提出一个估计股权溢价的框架，即使历史分布存在结构性断点，长期收益率序列仍有助于估计当前溢价。该框架考虑了断点时间不确定、溢价大幅变动可能性低以及溢价与波动率的部分关联，并假设价格与同期溢价变动反向。基于1834年以来的数据，估计溢价在4%至6%之间波动，最近十年降幅最大。
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 4 and 6 percent and exhibits its sharpest drop in the last decade.