Are Stocks Really Less Volatile in the Long Run?
传统观点认为股票长期波动率更低，但本文从投资者视角发现，由于参数不确定性和预测变量不完美，长期波动率实际上更高，这对目标日期基金的配置有重要影响。
ABSTRACT According to conventional wisdom, annualized volatility of stock returns is lower over long horizons than over short horizons, due to mean reversion induced by return predictability. In contrast, we find that stocks are substantially more volatile over long horizons from an investor's perspective. This perspective recognizes that parameters are uncertain, even with two centuries of data, and that observable predictors imperfectly deliver the conditional expected return. Mean reversion contributes strongly to reducing long‐horizon variance but is more than offset by various uncertainties faced by the investor. The same uncertainties reduce desired stock allocations of long‐horizon investors contemplating target‐date funds.