NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Discount Rates

John H. Cochrane

NBER Working Paper No. 16972
Issued in April 2011
NBER Program(s):   AP   EFG

Discount rate variation is the central organizing question of current asset pricing research. I survey facts, theories and applications. We thought returns were uncorrelated over time, so variation in price-dividend ratios was due to variation in expected cashflows. Now it seems all price-dividend variation corresponds to discount-rate variation. We 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. Discount-rate variation continues to change finance applications, including portfolio theory, accounting, cost of capital, capital structure, compensation, and macroeconomics.

download in pdf format
   (617 K)

email paper

This paper is available as PDF (617 K) or via email.

Machine-readable bibliographic record - MARC, RIS, BibTeX

Document Object Identifier (DOI): 10.3386/w16972

Published: Discount Rates: American Finance Association Presidential Address . Journal of Finance, 66, 1047 - 1108 , A ugust 2011.

Users who downloaded this paper also downloaded these:
Schwert w16976 Stock Volatility During the Recent Financial Crisis
Cochrane w11193 Financial Markets and the Real Economy
Reinhart and Rogoff w16827 A Decade of Debt
Krueger and Kuziemko w16978 The Demand for Health Insurance Among Uninsured Americans: Results of a Survey Experiment and Implications for Policy
de Fiore and Uhlig w16979 Bank Finance Versus Bond Finance
 
Publications
Activities
Meetings
NBER Videos
Data
People
About

Support
National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us