| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP10633 |
| DP10633 The Term Structure of Returns: Facts and Theory | |
| Ralph Koijen; Jules van Binsbergen | |
| 发表日期 | 2015-05-31 |
| 出版年 | 2015 |
| 语种 | 英语 |
| 摘要 | We summarize and extend the new literature on the term structure of equity. Short- term equity claims, or dividend strips, have on average significantly higher returns than the aggregate stock market. The returns on short-term dividend claims are risky as measured by volatility, but safe as measured by market beta. These facts are hard to reconcile with traditional macro-finance models and we provide an overview of new models that can reproduce some of these facts. We relate our evidence on dividend strips to facts about other asset classes such as nominal and corporate bonds, volatility, and housing. We conclude by discussing the broader economic implications by linking the term structure of returns to real economic decisions such as hiring and investment. |
| 主题 | Financial Economics |
| 关键词 | Corporate bonds Equity Fixed income Term structure Volatility |
| URL | https://cepr.org/publications/dp10633 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/539465 |
| 推荐引用方式 GB/T 7714 | Ralph Koijen,Jules van Binsbergen. DP10633 The Term Structure of Returns: Facts and Theory. 2015. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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