Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 21, 2020 erstellt
Description:
This paper shows that the correlation between discount rates on three major risky asset classes – equity, housing and corporate bonds – is approximately zero. I establish this new stylised fact – the co-movement puzzle – by using new long-run data for 17 advanced economies. I confirm that asset valuations and macro-financial risk factors predict returns on individual asset classes, but I show that none of these variables have predictive power across asset classes. The absence of observed discount rate co-movement is puzzling since all but a very select set of asset pricing models assume a joint pricing kernel and hence predict a high correlation of expected returns and risk premia. My findings imply that variation in the discount rate – through factors such as risk aversion, disaster risk, long-run risk and intermediary risk appetite – is, ultimately, not the key driver of observed asset price volatility