Inferring Aggregate Market Expectations from the Cross Section of Stock Prices
提出一种利用股票横截面的盈利和账面价值来估计长期总体贴现率的新方法，该指标具有逆周期特征，其冲击解释了近一半的历史市场回报变化，并在样本外预测中优于其他指标。
Abstract We introduce a new approach to estimating long-term aggregate discount rates using the cross section of earnings and book values to explain current stock prices and extract expected market returns. The proposed discount rate measure is countercyclical. Shocks to it account for nearly half of historical market return variation; in contrast, shocks to other discount rate measures account for no more than 2%. It dominates other measures in explaining time-series variation in returns on duration-sorted portfolios and delivers out-of-sample predictability that exceeds that afforded by other expected return measures and predictive variables. It also performs well in international equity markets.