Equity yields
成果类型：
Article
署名作者：
van Binsbergen, Jules; Hueskes, Wouter; Koijen, Ralph; Vrugt, Evert
署名单位：
National Bureau of Economic Research; Tilburg University; University of London; London Business School; Vrije Universiteit Amsterdam
刊物名称：
JOURNAL OF FINANCIAL ECONOMICS
ISSN/ISSBN：
0304-405X
DOI：
10.1016/j.jfineco.2013.08.017
发表日期：
2013
页码：
503-519
关键词：
摘要：
We study a new data set of dividend futures with maturities up to ten years across three world regions: the US, Europe, and Japan. We use these asset prices to construct equity yields, analogous to bond yields. We decompose the equity yields to obtain a term structure of expected dividend growth rates and a term structure of risk premia, which decomposes the equity risk premium by maturity. We find that the slope of the term structure of risk premia is pro-cyclical, whereas the slope of the term structure of expected dividend growth rates is counter-cyclical. The comovement of yields across regions is, on average, higher for long-maturity yields than for short-maturity yields, whereas the variation in this comovement is much higher for short-maturity yields. (C) 2013 Elsevier B.V. All rights reserved.