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The term structure of returns : facts and theory

Author: Jules H van Binsbergen; Ralph S J Koijen; National Bureau of Economic Research,
Publisher: Cambridge, Mass. : National Bureau of Economic Research, 2015.
Series: Working paper series (National Bureau of Economic Research), no. 21234.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Database:WorldCat
Summary:
We summarize and extend the new literature on the term structure of equity. Short-term equity claims, or dividend strips, have on average significantly higher returns than the aggregate stock market. The returns on short-term dividend claims are risky as measured by volatility, but safe as measured by market beta. These facts are hard to reconcile with traditional macro-finance models and we provide an overview of  Read more...
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Details

Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Jules H van Binsbergen; Ralph S J Koijen; National Bureau of Economic Research,
OCLC Number: 910967712
Notes: "June 2015"
Description: 1 online resource (37 pages) : illustrations.
Series Title: Working paper series (National Bureau of Economic Research), no. 21234.
Responsibility: Jules H. van Binsbergen, Ralph S.J. Koijen.

Abstract:

We summarize and extend the new literature on the term structure of equity. Short-term equity claims, or dividend strips, have on average significantly higher returns than the aggregate stock market. The returns on short-term dividend claims are risky as measured by volatility, but safe as measured by market beta. These facts are hard to reconcile with traditional macro-finance models and we provide an overview of new models that can reproduce some of these facts. We relate our evidence on dividend strips to facts about other asset classes such as nominal and corporate bonds, volatility, and housing. We conclude by discussing the broader economic implications by linking the term structure of returns to real economic decisions such as hiring and investment.

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