Equity Term Structures without Dividend Strips Data

• 成果类型: Article
• 署名作者: Giglio, Stefano; Kelly, Bryan; Kozak, Serhiy
• 署名单位: Yale University; National Bureau of Economic Research; Centre for Economic Policy Research - UK; University System of Maryland; University of Maryland College Park
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13394
• 发表日期: 2024
• 页码: 4143-4196
• 关键词: long-run; cross-section; cash flow; consumption; STOCK; RISK; explanation; duration; MODEL

摘要

We use a large cross section of equity returns to estimate a rich affine model of equity prices, dividends, returns, and their dynamics. Our model prices dividend strips of the market and equity portfolios without using strips data in the estimation. Yet model-implied equity yields closely match yields on traded strips. Our model extends equity term-structure data over time (to the 1970s) and across maturities, and generates term structures for various equity portfolios. The novel cross section of term structures from our model covers 45 years and includes several recessions, providing a novel set of empirical moments to discipline asset pricing models.