Equity duration and predictability

• 成果类型: Article
• 署名作者: Golez, Benjamin; Koudijs, Peter
• 署名单位: University of Notre Dame; New York University; Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2025.104114
• 发表日期: 2025
• 关键词: duration; Return predictability; Dividend growth predictability; historical data; Dividend strips

摘要

After 1945, expected returns have started to dominate the variation in equity price movements, leaving little room for expected dividend growth. An increase in equity duration can help explain this change. Expected returns vary more for payouts further into the future. Furthermore, because expected returns are more persistent than growth rates, they are more important for longer-duration assets. We provide empirical support for this explanation across three datasets: dividend strips, the long time series for the aggregate market, and the crosssection of stocks. A simple present value model with time-varying duration can largely explain the post-1945 dominance of expected returns.