The Term Structure of Returns: Facts and Theory / Jules H. van Binsbergen, Ralph S.J. Koijen.

Format:

Book

Author/Creator:

van Binsbergen, Jules H.

Contributor:

National Bureau of Economic Research.

Koijen, Ralph S.J.

Series:

Working Paper Series (National Bureau of Economic Research) no. w21234.

NBER working paper series no. w21234

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Other Title:

Term Structure of Returns

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2015.

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 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.

Notes:

Print version record

June 2015.