Reconciling the Term Structures of Corporate and Social Discount Rates

2015 ◽  
Author(s):  
Mark Freeman
Keyword(s):  
Discount Rates ◽  
Term Structures

Excess Volatility: Beyond Discount Rates*

2017 ◽  
Vol 133 (1) ◽  
pp. 71-127 ◽  
Author(s):  
Stefano Giglio ◽  
Bryan Kelly
Keyword(s):  
Internal Consistency ◽  
Discount Rates ◽  
Currency Options ◽  
Equity Options ◽  
Variance Swaps ◽  
Consistency Conditions ◽  
Term Structures ◽  
Credit Default ◽  
Excess Volatility ◽  
Standard Models

Abstract We document a form of excess volatility that is difficult to reconcile with standard models of prices, even after accounting for variation in discount rates. We compare prices of claims on the same cash flow stream but with different maturities. Standard models impose precise internal consistency conditions on the joint behavior of long- and short-maturity claims and these are strongly rejected in the data. In particular, long-maturity prices are significantly more variable than justified by the behavior at short maturities. We reject internal consistency conditions in all term structures that we study, including equity options, currency options, credit default swaps, commodity futures, variance swaps, and inflation swaps.

How to Measure Discount Rates? An experimental comparison of three methods

2010 ◽  
Author(s):  
David J. Hardisty ◽  
Katherine J. Thompson ◽  
David H. Krantz ◽  
Elke U. Weber
Keyword(s):  
Experimental Comparison ◽  
Discount Rates

Why Do Firms Use High Discount Rates?

CFA Digest ◽  
2017 ◽  
Vol 47 (4) ◽  
Author(s):  
Yaw Mante
Keyword(s):  
Discount Rates
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