英文标题：
《A New Valuation Measure for the Stock Market》
---
作者：
Andrey Sarantsev
---
最新提交年份：
2021
---
英文摘要：
We propose a new valuation measure for the American stock market. We split total returns into three components: earnings growth, dividend yield, and valuation change. The first two components are fundamental, the third is speculative. We treat earnings growth as exogenous. Combining the other two components gives us a new valuation measure, which fits autoregression of order 1 with Gaussian innovations, centered at 4.6%. Therefore, long-term total returns equals long-term earnings growth plus 4.6%. We confirm the classic 4% withdrawal rule. A retiree should invest in stocks and withdraw 4% of initial wealth after adjusting for inflation.
---
中文摘要：
我们为美国股市提出了一种新的估值方法。我们将总回报分为三个部分：收益增长、股息收益率和估值变化。前两个部分是基本的，第三个是推测性的。我们将收益增长视为外生的。将其他两个组成部分结合起来，我们得到了一个新的估值指标，该指标适合1阶自回归和高斯创新，以4.6%为中心。因此，长期总回报率等于长期收益增长率加上4.6%。我们确认经典的4%取款规则。退休人员应该投资股票，在调整通货膨胀因素后，提取初始财富的4%。
---
分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
--

---
PDF下载：
-->