| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP12661 |
| DP12661 News Shocks and the Production-Based Term Structure of Equity Returns | |
| Mariano Massimiliano Croce; Kai Li | |
| 发表日期 | 2018-01-29 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | We propose a production-based general equilibrium model to study the link between timing of cash flows and expected returns both in the cross section of stocks and along the aggregate equity term structure. Our model incorporates long-run growth news with time-varying volatility and slow learning about the exposure that firms have with respect to these shocks. Our framework provides a unified explanation of the stylized features of the slope of the term structure of equity returns, its variations over the business cycle, and the negative relationship between cash-flow duration and expected returns in the cross section of book- to-market-sorted portfolios. |
| 主题 | Financial Economics |
| URL | https://cepr.org/publications/dp12661 |
| 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/541473 |
| 推荐引用方式 GB/T 7714 | Mariano Massimiliano Croce,Kai Li. DP12661 News Shocks and the Production-Based Term Structure of Equity Returns. 2018. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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