News Shocks and the Production-Based Term Structure of Equity Returns

• 成果类型: Article
• 署名作者: Ai, Hengjie; Croce, Mariano Max; Diercks, Anthony M.; Li, Kai
• 署名单位: University of Minnesota System; University of Minnesota Twin Cities; University of North Carolina; University of North Carolina Chapel Hill; Bocconi University; Center for Economic & Policy Research (CEPR); Federal Reserve System - USA; Hong Kong University of Science & Technology
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhy015
• 发表日期: 2018
• 页码: 2423
• 关键词: cross-section; long-run; information quality; stock returns; CASH-FLOW; INVESTMENT; RISK; consumption; uncertainty; explanation

摘要

We propose a production-based general equilibrium model to study the link between timing of cash flows and expected returns, both in the cross-section of stocks and along the aggregate equity term structure. Our model incorporates long-run growth news with time-varying volatility and slow learning about the exposure that firms have with respect to these shocks. Our framework provides a unified explanation of the stylized features of the slope of the term structure of equity returns, its variations over the business cycle, and the negative relationship between cash-flow duration and expected returns in the cross-section of book-to-market-sorted portfolios.