Presidential Address: Discount Rates

By John H. Cochrane. 2011

1,749 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Strategy and Management

View Paper: https://www.semanticscholar.org/paper/ee409d547096fa23471046cd3f14d29009f16104

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Citations in the corpus

COVID-19 Is Also a Reallocation Shock (2020, background): “We consider return dispersion rather than the excess reallocation of equity value given the predominant role of discount rate variation in aggregate stock market movements (e.g., Shiller, 1981, Campbell and Shiller, 1988, and Cochrane, 2011).”
Quality minus junk (2018, neutral): “See also the overview by Cochrane (2011) and references therein.”
Noisy Prices and Inference Regarding Returns (2013, neutral): “Time variation in discount rates is empirically important: Cochrane (2011) reports that as much as half of time variation in market returns (and essentially all of the time variation in price-dividend ratios) can be attributed to discount-rate variation.”
Cyclicality, performance measurement, and cash flow liquidity in private equity (2016, neutral): “By emphasizing the market price-dividend ratio in this way, we are in keeping with the large literature in asset pricing that focuses on this ratio as a predictive variable for stock and bond returns (see Cochrane, 2011, for a summary).”
Nonlinearity and Flight‐to‐Safety in the Risk‐Return Trade‐Off for Stocks and Bonds (2019, neutral): “10 In particular, we show the slope of the Treasury yield curve as measured by TERM, the Cochrane and Piazzesi (2005) CP factor, the BAA-AAA credit spread (DEF), the dividend yield (DY) of the S&P500, the CAY factor by Lettau and Ludvigson (2001), and the variance risk premium (VRP) of Bollerslev, T”
Survey Measurement of Probabilistic Macroeconomic Expectations: Progress and Promise (2017, neutral): “I will discuss general problems in interpreting point predictions of uncertain events in Section VI.A. Cochrane (2011, 1068) has called attention to the difficulty of interpreting responses to questions that use imprecise verbal phrases when asking for point predictions of equity returns, writing:…”
Manager sentiment and stock returns (2019, methodology): “5 times larger than its average level, which signals strong economic significance (Cochrane 2011).”
Four Centuries of Return Predictability (2014, positive): “Second, the existing evidence not only suggests that returns are predictable, it also indicates that dividend growth rate predictability is limited (Campbell and Shiller 1988; Campbell 1991; Cochrane 1992; 2008; 2011).”
Shared analyst coverage: Unifying momentum spillover effects (2018, neutral): “Cohen and Frazzini (2008) show that common mutual fund ownership of customer and supplier firms weakens customer-to-supplier return predictability.”
Who Are the Value and Growth Investors (2017, positive): “In his Presidential Address to the American Finance Association, Cochrane (2011) gives the following explanation of the value premium: “If a mass of investors has jobs or businesses that will be hurt especially hard by a recession, they avoid stocks that fall more than average in a recession.””
A Theory of Firm Characteristics and Stock Returns: The Role of Investment-Specific Shocks (2012, neutral): “5See Cochrane (2011) for a summary of recent evidence for return predictability.”