Stock Market and No-Dividend Stocks

• 成果类型: Article
• 署名作者: Atmaz, Adem; Basak, Suleyman
• 署名单位: Purdue University System; Purdue University; University of London; London Business School; Centre for Economic Policy Research - UK
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13098
• 发表日期: 2022
• 页码: 545-599
• 关键词: RISK-RETURN RELATION; general equilibrium; rare disasters; term structure; long-run; volatility; valuation; premium; explanation; INFORMATION

摘要

We develop a stationary model of the aggregate stock market featuring both dividend-paying and no-dividend stocks within a familiar, parsimonious consumption-based equilibrium framework. We find that such a simple feature leads to profound implications supporting several stock market empirical regularities that leading consumption-based asset pricing models have difficulty reconciling. Namely, the presence of no-dividend stocks in the stock market leads to a lower correlation between stock market returns and the aggregate consumption growth rate, a nonmonotonic and even negative relation between the stock market risk premium and its volatility, and a downward-sloping term structure of equity risk premia.