Are Stocks Real Assets? Sticky Discount Rates in Stock Markets

Local stock markets adjust sluggishly to changes in local inflation. When the local rate of inflation increases, local investors subsequently earn lower real returns on local stocks, but not on local bonds or foreign stocks, suggesting that local stock market investors use sticky long-run nominal discount rates that are too low when inflation increases because they are slow to update the inflation expectations in discount rates. Small amounts of stickiness in inflation expectations suffice to match the real stock return predictability induced by inflation in the data. We also consider other explanations, such as nominal cash flow extrapolation.Received September 14, 2015; editorial decision June 30, 2016 by Editor Stefan Nagel.

当地股票市场对当地通货膨胀的变化调整迟缓。当当地通货膨胀率上升时，当地投资者随后在当地股票上获得的实际回报较低，但在当地债券或外国股票上则不然，这表明当地股票市场投资者在通货膨胀上升时使用的长期名义贴现率具有粘性且过低，因为他们更新贴现率中的通货膨胀预期速度缓慢。通货膨胀预期中少量的粘性就足以与数据中通货膨胀所导致的实际股票回报可预测性相匹配。我们也考虑了其他解释，比如名义现金流外推法。2015年9月14日收到；2016年6月30日由编辑斯特凡·内格尔做出编辑决定。