Dividend Dynamics and the Term Structure of Dividend Strips

• 成果类型: Article
• 署名作者: Belo, Frederico; Collin-Dufresne, Pierre; Goldstein, Robert S.
• 署名单位: University of Minnesota System; University of Minnesota Twin Cities; National Bureau of Economic Research; Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Swiss Finance Institute (SFI)
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12242
• 发表日期: 2015
• 页码: 1115-1160
• 关键词: RUN RISKS MODEL; long-run; SUBSEQUENT CHANGES; cross-section; MARKET PRICES; MOVE TOO; consumption; returns; cost; predictability

摘要

Many leading asset pricing models are specified so that the term structure of dividend volatility is either flat or upward sloping. These models predict that the term structures of expected returns and volatilities on dividend strips (i.e., claims to dividends paid over a prespecified interval) are also upward sloping. However, the empirical evidence suggests otherwise. This discrepancy can be reconciled if these models replace their proposed dividend dynamics with processes that generate stationary leverage ratios. Under such policies, shareholders are forced to divest (invest) when leverage is low (high), which shifts risk from long- to short-horizon dividend strips.