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Presidential Address: Discount Rates

The Journal of finance (New York), 2011-08, Vol.66 (4), p.1047-1108 [Peer Reviewed Journal]

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Title:
Presidential Address: Discount Rates
Author: COCHRANE, JOHN H.
Subjects: Asset pricing ; Bank rates ; Capital structure ; CAPM ; Credit market ; Derivatives ; Discount rates ; Dividends ; Expected returns ; Financial engineering ; Financial investments ; Financial portfolios ; Investment risk ; Investors ; Keys ; Macroeconomics ; Mathematical finance ; Option pricing ; Rates of return ; Research trends ; Stock prices ; Studies ; Yield
Is Part Of: The Journal of finance (New York), 2011-08, Vol.66 (4), p.1047-1108
Description: Discount-rate variation is the central organizing question of current asset-pricing research. 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.
Publisher: Malden, USA: Blackwell Publishing Inc
Language: English
Identifier: ISSN: 0022-1082
EISSN: 1540-6261
DOI: 10.1111/j.1540-6261.2011.01671.x
CODEN: JLFIAN
Source: Alma/SFX Local Collection

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