Clairvoyant Discount Rates
通过计算投资者为解释当前股价而必须接受的折现率，揭示了增长型股票估值过高、小公司效应由极端值驱动等现象，质疑了有效市场中折现率差异解释规模和价值效应的观点。
In 2009, Arnott, Li, and Sherrerd asked how a clairvoyant investor—an investor who can see the future cash flows that a company will deliver to its shareholders and an eventual resale price—would have valued individual stocks. By examining past share prices in the context of subsequent dividends, the authors garnered insights into how well market prices predict future company success (impressively well) and how correctly the market prices growth versus value (impressively badly). This article reverses the analysis, computing the discount rate a clairvoyant investor must accept to justify the current price. The goal is to gain insight into the extent to which variations in expected returns may explain pricing. These “clairvoyant discount rates” fall in a distribution that sheds new light on value and size effects. A shockingly low discount rate, often lower than the cash yield, must apply for the richest growth stocks to justify their historical valuations. The size effect is not driven by a higher average return for small companies, but by a handful of extreme outliers. These results cast doubt on the notion that the size and value effects can be a result of cross-sectional differences in discount rates in an efficient market.