Time variation of the equity term structure
WebFeb 8, 2024 · In production economies, Kogan et al. (2024) show that their model with investment-specific shocks is also consistent with the negative slope of the term structure of equity returns. 2 Favilukis and Lin (2016) and Marfe (2024) produce a downward-sloping term structure of equity returns by means of wage rigidity and a time-varying labor share. WebJan 1, 2015 · We examine whether time-series variation in the horizon bias can explain the time-series variation in the equity term structure. We use analyst earnings forecasts to measure the degree of the ...
Time variation of the equity term structure
Did you know?
Webequity return term structure.1 Van Binsbergen et al.(2013) andVan Binsbergen and Koijen (2024) use a new dataset of dividend futures and reach a similar conclusion that expected … WebApr 1, 2015 · The term structure of equity is downward-sloping because long-horizon equity gives higher chances to beat consumption habits than short-horizon equity. ... Habit …
WebMar 1, 2024 · The term structure of equity returns is downward-sloping: stocks with high cash flow duration earn 1.10% per month lower returns than short-duration stocks in the cross-section. Webfor a sizable equity risk premium simultaneously with a downward sloping term structure of equity. The term structure of aggregate equity may be computed by recognizing that an equity index claim is a portfolio of zero-coupon dividend claims (strips) with di⁄erent maturities. A downward sloping equity term structure means that expected excess ...
WebNov 20, 2024 · We model and estimate the term structure of implied costs of equity capital (and implied risk premia) at the firm level for the years 1996–2015 from forward looking option contracts. Empirical tests reject the assumption that the term structure of implied firm-level costs of equity is constant over different time horizons. Instead, we find that the … WebFeb 14, 2024 · We label the degree to which individuals are more optimistic at long horizons relative to short horizons the horizon bias. We examine whether time-series variation in …
WebI find that the slope of the term structure is countercyclical. The countercyclical variation is consistent with theories of long-run risk and habit, but these theories cannot explain the average downward slope. At the same time, the cyclical variation is inconsistent with …
WebApr 1, 2024 · However, given that short-term risk premia are virtually constant in the model, all variation in equity yields has to be due to expected growth rates. Given the amount of (excess) volatility in short-term equity yields, this implies that dividend growth is almost perfectly predictable, which is counterfactual; see, for instance, Cochrane (2008) and … child\u0027s rocking chair with nameWebDownloadable! I study the term structure of one‐period expected returns on dividend claims with different maturity. I find that the slope of the term structure is countercyclical. The … gpo accounts robloxWebApr 28, 2024 · The term structure of returns refers to returns on assets with the same underlying cash flows, where the return is measured over the same holding period, but for … gpo action updateWebJun 1, 2024 · We label the degree to which individuals are more optimistic at long horizons relative to short horizons as the horizon bias. We examine whether time-series variation in … child\u0027s rocking chair with cane seatWebJul 1, 2011 · The term structure of interest rates on U.S. government bonds is upward-sloping, and excess bond returns are predictable by yield spreads and by linear combinations of forward rates. In the cross-section, stocks with low ratios of price to fundamentals (value stocks) have higher returns than stocks with high ratios of price to … gpo action replaceWebfirms, and small and large firms. Our model generates interesting differences in the average term structure across portfolios, and in the time series. For example, we show … gpo active hoursWebFeb 14, 2024 · We label the degree to which individuals are more optimistic at long horizons relative to short horizons the horizon bias. We examine whether time-series variation in the horizon bias can explain the time-series variation in the equity term structure. We use analyst earnings forecasts to measure the degree of the horizon bias in the stock market. gpo activer bitlocker