Are Stocks Really Less Volatile in the Long Run?

作者:Pastor Lubos*; Stambaugh Robert F
来源:Journal of Finance, 2012, 67(2): 431-477.
DOI:10.1111/j.1540-6261.2012.01722.x

摘要

According to conventional wisdom, annualized volatility of stock returns is lower over long horizons than over short horizons, due to mean reversion induced by return predictability. In contrast, we find that stocks are substantially more volatile over long horizons from an investors perspective. This perspective recognizes that parameters are uncertain, even with two centuries of data, and that observable predictors imperfectly deliver the conditional expected return. Mean reversion contributes strongly to reducing long-horizon variance but is more than offset by various uncertainties faced by the investor. The same uncertainties reduce desired stock allocations of long-horizon investors contemplating target-date funds.

  • 出版日期2012-4