The term structures of equity and interest rates

• 成果类型: Article
• 署名作者: Lettau, Martin; Wachter, Jessica A.
• 署名单位: University of Pennsylvania; University of California System; University of California Berkeley
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2011.02.014
• 发表日期: 2011
• 页码: 90-113
• 关键词: Value premium; yield curve; PREDICTIVE REGRESSIONS; affine models

摘要

This paper proposes a dynamic risk-based model capable of jointly explaining the term structure of interest rates, returns on the aggregate market, and the risk and return characteristics of value and growth stocks. Both the term structure of interest rates and returns on value and growth stocks convey information about how the representative investor values cash flows of different maturities. We model how the representative investor perceives risks of these cash flows by specifying a parsimonious stochastic discount factor for the economy. Shocks to dividend growth, the real interest rate, and expected inflation are priced, but shocks to the price of risk are not. Given reasonable assumptions for dividends and inflation, we show that the model can simultaneously account for the behavior of aggregate stock returns, an upward-sloping yield curve, the failure of the expectations hypothesis, and the poor performance of the capital asset pricing model. (C) 2011 Elsevier B.V. All rights reserved.