Disaster recovery and the term structure of dividend strips

• 成果类型: Article
• 署名作者: Hasler, Michael; Marfe, Roberto
• 署名单位: University of Toronto; Collegio Carlo Alberto
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2015.11.002
• 发表日期: 2016
• 页码: 116-134
• 关键词: recovery; rare disasters; Term structures of equity; Dividend strips; Asset pricing puzzles

摘要

Recent empirical findings document downward-sloping term structures of equity return volatility and risk premia. An equilibrium model with rare disasters followed by recoveries helps reconcile theory with empirical observations. Indeed, recoveries outweigh the upward-sloping effect of time-varying disaster intensity and expected growth, generating downward-sloping term structures of dividend growth risk, equity return volatility, and equity risk premia. In addition, the term structure of interest rates is upward-sloping when accounting for recoveries and downward-sloping otherwise. The model quantitatively reconciles high risk premia and a low risk-free rate with the shape of the term structures, which are at odds in other models. (C) 2016 Elsevier B.V. All rights reserved.