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|
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NBER Working Papers
8074, National Bureau of Economic Research, Inc.
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1385, Cowles Foundation for Research in Economics, Yale University.
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- 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.
- Ranguelova, Elena & Feldstein, Martin, 2001. "Individual Risk in an Investment-Based Social Security System," Scholarly Articles 2797440, Harvard University Department of Economics.
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