Horizon Bias and the Term Structure of Equity Returns

• 成果类型: Article
• 署名作者: Cassella, Stefano; Golez, Benjamin; Gulen, Huseyin; Kelly, Peter
• 署名单位: Tilburg University; University of Notre Dame; Purdue University System; Purdue University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhac032
• 发表日期: 2023
• 页码: 1253
• 关键词: EXPECTED RETURNS; EARNINGS FORECASTS; Dividends

摘要

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 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. Consistent with the intuition from a stylized present value model, we find that periods of above-average horizon bias are associated with negative term premiums, whereas periods of below-average horizon bias are associated with positive term premiums.