How to Discount Cashflows with Time‐Varying Expected Returns
提出一个模型，在条件CAPM框架下，用随时间变化的折现率来估值现金流，解决了传统股利折现模型忽略时变风险溢价和贝塔的问题。
ABSTRACT While many studies document that the market risk premium is predictable and that betas are not constant, the dividend discount model ignores time‐varying risk premiums and betas. We develop a model to consistently value cashflows with changing risk‐free rates, predictable risk premiums, and conditional betas in the context of a conditional CAPM. Practical valuation is accomplished with an analytic term structure of discount rates, with different discount rates applied to expected cashflows at different horizons. Using constant discount rates can produce large misvaluations, which, in portfolio data, are mostly driven at short horizons by market risk premiums and at long horizons by time variation in risk‐free rates and factor loadings.