Survival Bias and the Equity Premium Puzzle
质疑美国股权溢价数据中存在严重生存偏差的担忧，通过建立生存模型框架，推导出生存概率与平均生存偏差的数学关系，指出高生存偏差需要不切实际的高市场失败概率。
ABSTRACT Previous authors have raised the concern that there could be serious survival bias in the observed U.S. equity premium. Contrary to conventional wisdom, we argue that the survival bias in the U.S. data is unlikely to be significant. To reach this conclusion, we introduce a general framework for modeling survival and derive a mathematical relationship between the ex ante survival probability and the average survival bias. This relationship reveals the fundamental difficulty facing the survival argument: High survival bias requires an ex ante probability of market failure, which seems unrealistically high given the history of world financial markets.