When Are Stocks Less Volatile in the Long Run?
研究发现，在非负股权溢价条件下，股票长期波动性低于短期，即使考虑估计风险与不确定性，原因在于该条件提供了参数识别和先验信息，结合均值回归降低了长期预测方差。
Abstract Pástor and Stambaugh (2012) find that from a forward-looking perspective, stocks are more volatile in the long run than they are in the short run. We demonstrate that when the nonnegative equity premium (NEP) condition is imposed on predictive regressions, stocks are in fact less volatile in the long run, even after taking estimation risk and uncertainties into account. The reason is that the NEP provides an additional parameter identification condition and prior information for future returns. Combined with the mean reversion of stock returns, this condition substantially reduces uncertainty on future returns and leads to lower long-run predictive variance.