Alternative Methods for Projecting Equity Returns: Implications for Evaluating Social Security Reform Proposals: Technical Paper 2003-08
The effect upon future Social Security benefits resulting from the introduction of individual accounts depends on both the potential risks and returns of private equities, yet the historical evidence about determinants of stock market risks and returns is mixed. In particular, correlations between equity returns and market fundamentals (such as the dividend price ratio) are weak at annual frequencies, which has led some to conclude that a random returns (fixed mean and variance) model is the preferred specification for simulating the future path of equity returns. Although choosing between
|Date of creation:||01 Aug 2003|
|Date of revision:|
|Contact details of provider:|| Postal: Second and D Streets, SW, Washington, DC 20515|
Web page: http://www.cbo.gov
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- repec:pri:cepsud:91malkiel is not listed on IDEAS
- Robert J. Shiller, 2003.
"From Efficient Markets Theory to Behavioral Finance,"
Journal of Economic Perspectives,
American Economic Association, vol. 17(1), pages 83-104, Winter.
- Robert J. Shiller, 2002. "From Efficient Market Theory to Behavioral Finance," Cowles Foundation Discussion Papers 1385, Cowles Foundation for Research in Economics, Yale University.
- Ranguelova, Elena & Feldstein, Martin, 2001. "Individual Risk in an Investment-Based Social Security System," Scholarly Articles 2797440, Harvard University Department of Economics.
- Martin Feldstein & Elena Ranguelova, 2001.
"Individual Risk in an Investment-Based Social Security System,"
American Economic Review,
American Economic Association, vol. 91(4), pages 1116-1125, September.
- Martin Feldstein & Elena Ranguelova, 2001. "Individual Risk in an Investment-Based Social Security System," NBER Working Papers 8074, National Bureau of Economic Research, Inc.
- Burton G. Malkiel, 2003. "The Efficient Market Hypothesis and Its Critics," Working Papers 111, Princeton University, Department of Economics, Center for Economic Policy Studies..
- Burton G. Malkiel, 2003. "The Efficient Market Hypothesis and Its Critics," Journal of Economic Perspectives, American Economic Association, vol. 17(1), pages 59-82, Winter.
When requesting a correction, please mention this item's handle: RePEc:cbo:wpaper:14678. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ()
If references are entirely missing, you can add them using this form.