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discount_rates_Cochrane_2011_JF必看课件资料.pdf 63页

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The Journal of Finance John H. Cochrane President of the American Finance Association 2010 THE JOURNAL OF FINANCE • VOL. LXVI, NO. 4 • AUGUST 2011 Presidential Address: Discount Rates JOHN H. COCHRANE∗ ABSTRACT Discount-rate variation is the central organizing question of current asset-pricing re- search. I survey facts, theories, and applications. Previously, we thought returns were unpredictable, with variation in price-dividend ratios due to variation in expected cashflows. Now it seems all price-dividend variation corresponds to discount-rate variation. We also thought that the cross-section of expected returns came from the CAPM. Now we have a zoo of new factors. I categorize discount-rate theories based on central ingredients and data sources. Incorporating discount-rate variation affects finance applications, including portfolio theory, accounting, cost of capital, capital structure, compensation, and macroeconomics. ASSET PRICES SHOULD EQUAL expected discounted cashflows. Forty years ago, Eugene Fama (1970) argued that the expected part, “testing market efficiency,” provided the framework for organizing asset-pricing research in that era. I argue that the “discounted” part better organizes our research today. I start with facts: how discount rates vary over time and across assets. I turn to theory: why discount rates vary. I attempt a categorization based on central assumptions and links to data, analogous to Fama’s “weak,” “semi-strong,” and “strong” forms of efficiency. Finally, I point to some applications, which I think will be strongly influenced by our new understanding of discount rates. In each case, I have more questions than answers. This paper is more an agenda than a sum

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