Are Stocks Real Assets? Sticky Discount Rates in Stock Markets
研究发现本地股票市场对通胀变化反应迟缓，通胀上升时投资者因贴现率中的通胀预期更新慢而获得较低实际回报，解释了通胀对股票收益的可预测性。
Local stock markets adjust sluggishly to changes in local inflation. When the local rate of inflation increases, local investors subsequently earn lower real returns on local stocks, but not on local bonds or foreign stocks, suggesting that local stock market investors use sticky long-run nominal discount rates that are too low when inflation increases because they are slow to update the inflation expectations in discount rates. Small amounts of stickiness in inflation expectations suffice to match the real stock return predictability induced by inflation in the data. We also consider other explanations, such as nominal cash flow extrapolation. Received September 14, 2015; editorial decision June 30, 2016 by Editor Stefan Nagel.