| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w17416 |
| 来源ID | Working Paper 17416 |
| Equity Yields | |
| Jules H. van Binsbergen; Wouter Hueskes; Ralph Koijen; Evert B. Vrugt | |
| 发表日期 | 2011-09-15 |
| 出版年 | 2011 |
| 语种 | 英语 |
| 摘要 | We study a new data set of prices of traded dividends with maturities up to 10 years across three world regions: the US, Europe, and Japan. We use these asset prices to construct equity yields, analogous to bond yields. We decompose these yields to obtain a term structure of expected dividend growth rates and a term structure of risk premia, which allows us to decompose the equity risk premium by maturity. We find that both expected dividend growth rates and risk premia exhibit substantial variation over time, particularly for short maturities. In addition to predicting dividend growth, equity yields help predict other measures of economic growth such as consumption growth. We relate the dynamics of growth expectations to recent events such as the financial crisis and the earthquake in Japan. |
| 主题 | Macroeconomics ; Business Cycles ; Money and Interest Rates ; International Economics ; Financial Economics ; Financial Markets ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w17416 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/575090 |
| 推荐引用方式 GB/T 7714 | Jules H. van Binsbergen,Wouter Hueskes,Ralph Koijen,et al. Equity Yields. 2011. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w17416.pdf（462KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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