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来源类型 | Working Paper |
规范类型 | 报告 |
DOI | 10.3386/w25690 |
来源ID | Working Paper 25690 |
The Term Structure of Equity Risk Premia | |
Ravi Bansal; Shane Miller; Dongho Song; Amir Yaron | |
发表日期 | 2019-03-25 |
出版年 | 2019 |
语种 | 英语 |
摘要 | We use traded equity dividend strips from U.S., Europe, and Japan from 2004-2017 to study the slope of the term structure of equity dividend risk premia. In the data, a robust finding is that the term structure of dividend risk premia (growth rates) is positively (negatively) sloped in expansions and negatively (positively) sloped in recessions. We develop a consumption-based regime switching model which matches these robust data-features and the historical probabilities of recession and expansion regimes. The unconditional population term structure of dividend-risk premia in the regime-switching model, as in standard asset pricing models (habits and long-run risks), is increasing with maturity. The regime-switching model also features a declining average term structure of dividend risk-premia if recessions are over-represented in a short sample, as is the case in the data sample from Europe and Japan. In sum, our analysis shows that the empirical evidence in dividend strips is entirely consistent with a positively sloped term structure of dividend risk-premia as implied by standard asset pricing models. |
主题 | Macroeconomics |
URL | https://www.nber.org/papers/w25690 |
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/583363 |
推荐引用方式 GB/T 7714 | Ravi Bansal,Shane Miller,Dongho Song,et al. The Term Structure of Equity Risk Premia. 2019. |
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 | ||
w25690.pdf(1001KB) | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 |
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