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The Role of the Growth of Risk-Averse Wealth in the Decline of the Safe Real Interest Rate

Hall, Robert E. - 2016

seriously adverse outcomes. If the composition of wealth shifts into the hands of investors with higher coefficients of relative … calculates likely magnitudes of the decline and presents evidence in favor of a shift in the composition of wealth toward the …

Persistent link: https://www.econbiz.de/10012456479

Low Interest Rates and High Asset Prices : An Interpretation in Terms of Changing Popular Economic Models

Shiller, Robert J. - 2007

There has been a widespread perception in the past few years that long-term asset prices are generally high because monetary authorities have effectively kept long-term interest rates, which the market uses to discount cash flows, low. This perception is not accurate. Long-term interest rates...

Persistent link: https://www.econbiz.de/10012465089

Accounting for Macro-Finance Trends : Market Power, Intangibles, and Risk Premia

Farhi, Emmanuel - 2018

Real risk-free interest rates have trended down over the past 30 years. Puzzlingly in light of this decline, (1) the return on private capital has remained stable or even increased, creating an increasing wedge with safe interest rates; (2) stock market valuation ratios have increased only...

Persistent link: https://www.econbiz.de/10012480933

The Rate of Return on Everything, 1870–2015

Jordà, Òscar - 2017

time--total returns to the largest, but oft ignored, component of household wealth, housing. The annual data on total …

Persistent link: https://www.econbiz.de/10012453601

The Expected Value Premium

Chen, Long - 2006

Fama and French (2002) estimate the equity premium using dividend growth rates to measure the expected rate of capital gain. We use similar methods to study the value premium. From 1941 to 2002, the expected HML return is on average 5.1% per annum, consisting of an expected-dividend-growth...

Persistent link: https://www.econbiz.de/10012466485

The Wealth-Consumption Ratio

Lustig, Hanno - 2008

aggregate consumption. The price-dividend ratio of this claim is the wealth-consumption ratio. Our estimates indicate that total … wealth is much safer than stock market wealth. The consumption risk premium is only 2.2 percent, substantially below the … equity risk premium of 6.9 percent. As a result, the average US household has more wealth than one might think; most of it is …

Persistent link: https://www.econbiz.de/10012464751

Speculative Betas

Hong, Harrison - 2012

We provide a model for why high beta assets are more prone to speculative overpricing than low beta ones. When investors disagree about the common factor of cash-flows, high beta assets are more sensitive to this macro-disagreement and experience a greater divergence-of-opinion about their...

Persistent link: https://www.econbiz.de/10012460112

Heterogeneity and Persistence in Returns to Wealth

Fagereng, Andreas - 2016

We provide a systematic analysis of the properties of individual returns to wealth using twenty years of population … percentile. Second, heterogeneity in returns does not arise merely from differences in the allocation of wealth between safe and … risky assets: returns are heterogeneous even within asset classes. Third, returns are positively correlated with wealth …

Persistent link: https://www.econbiz.de/10012455858

Real interest rates, credit markets, and economic stabilization

Jenkins, Paul; Walsh, Carl E. - 1985

Persistent link: https://www.econbiz.de/10003585366

Inflation, Real Interest Rates, and the Bond Market : A Study of UK Nominal and Index-Linked Government Bond Prices

Barr, David G. - 1996

This paper estimates expected future real interest rates and inflation rates from observed prices of UK government nominal and index-linked bonds. The estimation method takes account of imperfections in the indexation of UK index-linked bonds. It assumes that expected log returns on all bonds...

Persistent link: https://www.econbiz.de/10012473007

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