Disaster recovery and the term structure of dividend strips

被引:35
作者
Hasler, Michael [1 ]
Marfe, Roberto [2 ]
机构
[1] Univ Toronto, 105 St George St, Toronto, ON M5S 3E6, Canada
[2] Coll Carlo Alberto, Via Real Coll 30, I-10024 Turin, Italy
关键词
Recovery; Rare disasters; Term structures of equity; Dividend strips; Asset pricing puzzles; LONG-RUN RISK; RARE DISASTERS; CONSUMPTION; EQUITY; SUBSTITUTION; FRAMEWORK; EARNINGS; RETURNS; PUZZLES; PREMIUM;
D O I
10.1016/j.jfineco.2015.11.002
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
Recent empirical findings document downward-sloping term structures of equity return volatility and risk premia. An equilibrium model with rare disasters followed by recoveries helps reconcile theory with empirical observations. Indeed, recoveries outweigh the upward-sloping effect of time-varying disaster intensity and expected growth, generating downward-sloping term structures of dividend growth risk, equity return volatility, and equity risk premia. In addition, the term structure of interest rates is upward-sloping when accounting for recoveries and downward-sloping otherwise. The model quantitatively reconciles high risk premia and a low risk-free rate with the shape of the term structures, which are at odds in other models. (C) 2016 Elsevier B.V. All rights reserved.
引用
收藏
页码:116 / 134
页数:19
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