The term structure of equity risk premia

• 成果类型: Article
• 署名作者: Bansal, Ravi; Miller, Shane; Song, Dongho; Yaron, Amir
• 署名单位: Duke University; National Bureau of Economic Research; Duke University; University of Michigan System; University of Michigan; Johns Hopkins University; University of Pennsylvania; National Bureau of Economic Research; Bank of Israel
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2021.05.043
• 发表日期: 2021
• 页码: 1209-1228
• 关键词: Asset pricing; Business cycle phases; Dividend strips; Equity term structure; regime switching

摘要

We estimate a regime-switching model for the equity term structure with Bayesian methods. Our approach accounts for the data sample being unrepresentative of the population distribution of regimes. We find that (i) the term structure of expected equity dividend strip returns is downward sloping in recessions and upward sloping in expansions, and (ii ) the unconditional term structure of expected equity returns is positively sloped. Our estimation shows that the sample unrepresentativeness induces a downward bias in the estimate of the equity term structure slope. We present a regime-switching consumption based asset-pricing model that matches the empirical findings. (C) 2021 Published by Elsevier B.V.