Some New Variance Bounds for Asset Prices
推导了股息平稳或含单位根时资产价格的新方差不等式，为理解1980年代Shiller方差界的讨论提供新视角。
When equity prices are determined as the discounted sum of current and expected future dividends, Shiller (1981) and LeRoy and Porter (1981) derived a relationship between the variance of the price of equities, pt, and the variance of the ex post realized discounted sum of current and future dividends: p*t : Var(p*t ) >= Var(pt). The literature has long since recognized that this variance bound is valid only when dividends follow a stationary process. Others, notably West (1988), derive variance bounds that apply when dividends are nonstationary. West shows that the variance in innovations in pt must be less than the variance of innovations in a forecast of the discounted sum of current and future dividends constructed by the econometrician, p't. Here we derive a new variance bound when dividends are stationary or have a unit root, that sheds light on the discussion in the 1980s of the Shiller variance bound: Var(pt - pt 1) >= Var(p*t - p*t- 1)! We also derive a variance bound related to the West bound: Var(p't - p't-1) >= Var(pt - pt-1).