Is the United States a Lucky Survivor? A Hierarchical Bayesian Approach
利用国际数据量化美国股市表现中的幸存者偏差，发现其解释了约三分之一的历史股权风险溢价，并通过分层贝叶斯模型分析投资者对崩盘风险的信念。
ABSTRACT Using international data, we quantify the magnitude of survivorship bias in U.S. equity market performance, finding that it explains about one‐third of the equity risk premium in the past century. We model the subjective crash belief of an investor who infers the crash risk in the United States by cross‐learning from other countries. The U.S. crash probability shows a persistent and widening divergence from the implied global average. We attribute the upward bias in the measured equity premium to crashes that did not occur in‐sample and to shocks to valuations resulting from learning about the probability.