Correlated Cashflow Shocks, Asset Prices, and the Term Structure of Equity

• 成果类型: Article
• 署名作者: Hasler, Michael; Khapko, Mariana
• 署名单位: University of Texas System; University of Texas Dallas; University of Toronto; University Toronto Scarborough; University of Toronto
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2022.4565
• 发表日期: 2023
• 页码: 5560-5577
• 关键词: correlated cashflow shocks; Equity term structure; Dividend strips; Risk premium; volatility

摘要

The term structure of equity risk premium is moderately downward-sloping unconditionally, markedly downward-sloping in good times, and markedly upward-sloping in bad times. An asset-pricing model featuring time-varying correlation between realized and expected cashflow shocks explains these puzzling empirical findings. Indeed, the model-implied slope of the equity term structure is in line with the data, both conditionally and unconditionally, because the estimated cashflow shock correlation is volatile, counter-cyclical, and negative on average. The model also generates realistic assPt-pricing moments and a positive relation between the equity risk premium, slope of the equity term structure, and the dividend yield.