G2TT
来源类型Discussion paper
规范类型论文
来源IDDP16224
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
URLhttps://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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