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来源类型Working Paper
规范类型报告
DOI10.3386/w25690
来源IDWorking 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
URLhttps://www.nber.org/papers/w25690
来源智库National Bureau of Economic Research (United States)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/583363
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GB/T 7714
Ravi Bansal,Shane Miller,Dongho Song,et al. The Term Structure of Equity Risk Premia. 2019.
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