The valuation of long-dated assets
By: Ian Martin
Contributors: National Bureau of Economic Research
Series: NBER working paper series -- working paper 16219; Working paper series (National Bureau of Economic Research : Online) -- working paper no. 16219.
Publisher: National Bureau of Economic Research
Published: 2010
Place of publication: Cambridge, MA
Language: eng
Format: [electronic resource] /
Description: "The expected time- and risk-adjusted cumulative return on any asset equals one at all horizons.  Nonetheless, I show that a typical asset's realized time- and risk-adjusted cumulative return tends to zero almost surely.  As a corollary, the value of a typical long-dated asset is driven by extreme events: either by good news at the level of the individual asset or by bad news at the aggregate level.  In the case of the aggregate market, the fact that its Sharpe ratio is higher than its volatility suggests that bad news is the relevant consideration in practice"--National Bureau of Economic Research web site.
Notes: Title from PDF file as viewed on 9/2/2010.

Includes bibliographical references.

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