| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP16224
|
| DP16224 Stock Market and No-Dividend Stocks |
| Suleyman Basak; Adem Atmaz
|
| 发表日期 | 2021-06-04
|
| 出版年 | 2021
|
| 语种 | 英语
|
| 摘要 | We develop a stationary model of the aggregate stock market featuring both dividend-paying and nodividend stocks within a familiar, parsimonious consumption-based equilibrium framework. We find that such a simple feature leads to profound implications supporting several stock market empirical regularities that leading consumption-based asset pricing models have difficulty reconciling. We show
that the presence of no-dividend stocks in the stock market leads to a lower correlation between the stock market return and aggregate consumption growth rate, a non-monotonic and even a negative relation between the stock market risk premium and its volatility, and a downward sloping term structure of equity risk premia. When we quantify these effects, we find them to be economically
significant. We also find that no-dividend stocks command lower mean returns but have higher return volatilities and higher market betas than comparable dividend-paying stocks, consistently with empirical evidence. We provide straightforward intuition for all these results and the underlying economic mechanisms at play. |
| 主题 | Financial Economics
|
| 关键词 | stock market
No-dividend stocks
Dynamic asset pricing
Incomplete information
|
| URL | https://cepr.org/publications/dp16224
|
| 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/545193
|
推荐引用方式
GB/T 7714 |
Suleyman Basak,Adem Atmaz. DP16224 Stock Market and No-Dividend Stocks. 2021.
|
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