Corporate earnings and the equity premium

• 成果类型: Article
• 署名作者: Longstaff, FA; Piazzesi, M
• 署名单位: University of Chicago; University of California System; University of California Los Angeles
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2003.12.001
• 发表日期: 2004
• 页码: 401-421
• 关键词: corporate earnings; equity premium

摘要

Corporate cash flows are highly volatile and strongly procyclical. We examine the asset-pricing implications of the sensitivity of corporate cash flows to economic shocks within a continuous-time model in which dividends are a stochastic fraction of aggregate consumption. We provide closed-form solutions for stock values and show that the equity premium can be represented as the sum of three components which we call the consumption-risk, event-risk, and corporate-risk premia. Calibrated to historical data, the model implies a total equity premium many times larger than in the standard model. The model also generates levels of equity volatility consistent with those experienced in the stock market. (C) 2004 Elsevier B.V. All rights reserved.