| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w18450 |
| 来源ID | Working Paper 18450 |
| Endogenous Dividend Dynamics and the Term Structure of Dividend Strips | |
| Frederico Belo; Pierre Collin-Dufresne; Robert S. Goldstein | |
| 发表日期 | 2012-10-11 |
| 出版年 | 2012 |
| 语种 | 英语 |
| 摘要 | Many leading asset pricing models predict that the term structures of expected returns and volatilities on dividend strips are strongly upward sloping. Yet the empirical evidence suggests otherwise. This discrepancy can be reconciled if these models replace their exogenously specified dividend dynamics with processes that are derived endogenously from capital structure policies that generate stationary leverage ratios. Under this policy, shareholders are being forced to divest (invest) when leverage is low (high), which shifts risk from long-horizon to short-horizon dividend strips. This framework also generates stock volatility that is higher than long-horizon dividend volatility, even with constant market prices of risk. |
| 主题 | Financial Economics ; Financial Markets ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w18450 |
| 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/576125 |
| 推荐引用方式 GB/T 7714 | Frederico Belo,Pierre Collin-Dufresne,Robert S. Goldstein. Endogenous Dividend Dynamics and the Term Structure of Dividend Strips. 2012. |
| 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 | ||
| w18450.pdf（515KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
