Are Stocks Riskier over the Long Run? Taking Cues from Economic Theory
从贝叶斯投资者视角，利用长期风险、习惯形成或前景理论模型形成先验信念，研究股票在长期是否更安全或更危险。经济理论对长期投资机会提供重要指导，不同模型导致不同结论。
We study whether stocks are riskier or safer in the long run from the perspective of Bayesian investors who employ the long-run risk, habit formation, or prospect theory models to form prior beliefs about return dynamics. Economic theory delivers important guidance for long-run investment opportunities. Specifically, incorporating prior information from the habit formation or prospect theory models reinforces beliefs in mean reversion and inferences that stocks are safer over longer horizons. Conversely, investors with long-run risk priors perceive weaker mean reversion and riskier equities. Model-based information is particularly important for inferences about uncertainty in the dividend growth component of returns. Received May 18, 2016; editorial decision April 25, 2017 by Editor Stijn Van Nieuwerburgh.