Webfor a sizable equity risk premium simultaneously with a downward sloping term structure of equity. The term structure of aggregate equity may be computed by recognizing that an equity index claim is a portfolio of zero-coupon dividend claims (strips) with di⁄erent maturities. A downward sloping equity term structure means that expected excess ... WebMar 30, 2024 · Time Variation of the Equity Term Structure. March 2024; The Journal of Finance 76(4) DOI: ... ex ante perspective on the conditional time variation of the term …
News Shocks and the Production-Based Term Structure of Equity Returns …
Webequity term premia and equity yield spreads and discuss general relations. In section B,I study time variation in these objects in leading asset pricing models. A. The Equity Term … WebNov 20, 2024 · We model and estimate the term structure of implied costs of equity capital (and implied risk premia) at the firm level for the years 1996–2015 from forward looking option contracts. Empirical tests reject the assumption that the term structure of implied firm-level costs of equity is constant over different time horizons. Instead, we find that the … disney rodgers and hammerstein cinderella
Cash flow duration and the term structure of equity returns
WebAug 1, 2016 · The term structure of equity returns is downward-sloping: stocks with high cash flow duration earn 1.10% per month lower returns than short-duration stocks in the cross section. I create a measure of cash flow duration at the firm level using balance sheet data to show this novel fact. Factor models can explain only 50% of the return differential, … WebJun 1, 2024 · The term structure of equity returns is downward-sloping: stocks with high cash flow duration earn 1.10% per month lower returns than short-duration stocks in the cross-section. I create a measure of cash flow duration at the firm level using balance sheet data to show this novel fact. Factor models can explain only 50% of the return differential, … WebMay 8, 2024 · Time Variation of the Equity Term Structure. Article. Mar 2024; Niels Joachim Gormsen; I study the term structure of one‐period expected returns on dividend claims with different maturity. disney rofr