Time Variation of the Equity Term Structure

• 成果类型: Article
• 署名作者: Gormsen, Niels Joachim
• 署名单位: University of Chicago
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13020
• 发表日期: 2021
• 页码: 1959-1999
• 关键词: long-run; consumption; duration; explanation; risks; rates; MODEL

摘要

I study the term structure of one-period expected returns on dividend claims with different maturity. I find that the slope of the term structure is countercyclical. The countercyclical variation is consistent with theories of long-run risk and habit, but these theories cannot explain the average downward slope. At the same time, the cyclical variation is inconsistent with recent models constructed to match the average downward slope. More generally, the average and cyclicality of the slope are hard to reconcile with models with a single risk factor. I introduce a model with two priced factors to solve the puzzle.