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Activity Number:
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507
- Business, Time Series, and Spatial Analysis Methods
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Type:
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Contributed
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Date/Time:
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Thursday, August 6, 2020 : 10:00 AM to 2:00 PM
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Sponsor:
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Section on Risk Analysis
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Abstract #312451
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Title:
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American Stock Market in the Long Run
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Author(s):
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Andrey Sarantsev*
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Companies:
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University of Nevada in Reno
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Keywords:
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stock market;
Jeffrey's prior;
linear regression;
Treasury rates;
total returns
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Abstract:
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We fit a dynamic factor model of the Standard & Poor Composite Index, with earnings, dividends, short- and long-term Treasury rates as factors. We use Bayesian inference. We evaluate the conventional wisdom that future long-term market returns are likely lower than the historical average of 6-7%.
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Authors who are presenting talks have a * after their name.
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