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Equity yields

Journal

Journal of Financial Economics

Subject

Finance

Publishing details

Journal of Financial Economics 2013 Vol 110:3 p 503-519

Authors / Editors

Van Binsbergen JH;Hueskes W;Koijen RSJ;Vrugt EB

Publication Year

2013

Abstract

We study a new data set of dividend futures with maturities up to ten years across three world regions: the US, Europe, and Japan. We use these asset prices to construct equity yields, analogous to bond yields. We decompose the equity yields to obtain a term structure of expected dividend growth rates and a term structure of risk premia, which decomposes the equity risk premium by maturity. We find that the slope of the term structure of risk premia is pro-cyclical, whereas the slope of the term structure of expected dividend growth rates is counter-cyclical. The comovement of yields across regions is, on average, higher for long-maturity yields than for short-maturity yields, whereas the variation in this comovement is much higher for short-maturity yields.

Publication Research Centre

Institute of Finance and Accounting

Available on ECCH

No


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