| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w21234 |
| 来源ID | Working Paper 21234 |
| The Term Structure of Returns: Facts and Theory | |
| Jules H. van Binsbergen; Ralph S.J. Koijen | |
| 发表日期 | 2015-06-08 |
| 出版年 | 2015 |
| 语种 | 英语 |
| 摘要 | We summarize and extend the new literature on the term structure of equity. Short-term equity claims, or dividend strips, have on average significantly higher returns than the aggregate stock market. The returns on short-term dividend claims are risky as measured by volatility, but safe as measured by market beta. These facts are hard to reconcile with traditional macro-finance models and we provide an overview of new models that can reproduce some of these facts. We relate our evidence on dividend strips to facts about other asset classes such as nominal and corporate bonds, volatility, and housing. We conclude by discussing the broader economic implications by linking the term structure of returns to real economic decisions such as hiring and investment. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w21234 |
| 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/578909 |
| 推荐引用方式 GB/T 7714 | Jules H. van Binsbergen,Ralph S.J. Koijen. The Term Structure of Returns: Facts and Theory. 2015. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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。
