The term structure of returns: Facts and theory
成果类型：
Article
署名作者：
van Binsbergen, Jules H.; Koijen, Ralph S. J.
署名单位：
University of Pennsylvania; National Bureau of Economic Research; New York University; Center for Economic & Policy Research (CEPR)
刊物名称：
JOURNAL OF FINANCIAL ECONOMICS
ISSN/ISSBN：
0304-405X
DOI：
10.1016/j.jfineco.2017.01.009
发表日期：
2017
页码：
1-21
关键词：
摘要：
We summarize and extend the new literature on the term structure of equity. Short-term equity claims, or dividend strips, have higher average returns and Sharpe ratios than the aggregate stock market. The returns on short-term dividend claims are risky as measured by volatility, but safe as measured by market beta. These facts are hard to reconcile with traditional macro-finance models and we provide an overview of new models that can reproduce some of these facts. We relate our evidence on dividend strips to facts about other asset classes such as nominal and corporate bonds, volatility, and housing. We discuss the broader economic implications of our findings by linking the term structure of returns to real economic decisions such as hiring and investment. We conclude with an outline of empirical and theoretical extensions that we consider interesting avenues for future research. (C) 2017 Elsevier B.V. All rights reserved.