| Autor: |
Koijen, R, van Binsbergen, J H, Brandt, M W |
| Přispěvatelé: |
Research Group: Finance, Department of Finance |
| Jazyk: |
angličtina |
| Rok vydání: |
2012 |
| Zdroj: |
American Economic Review, 102(4), 1596-1618. American Economic Association |
| ISSN: |
0002-8282 |
| Popis: |
We present evidence on the term structure of the equity premium. We recover prices of dividend strips, which are short-term assets that pay dividends on the stock index every period up to period T and nothing thereafter. It is short-term relative to the index because the index pays dividends in perpetuity. We find that expected returns, Sharpe ratios, and volatilities on short-term assets are higher than on the index, while their CAPM betas are below one. Short-term assets are more volatile than their realizations, leading to excess volatility and return predictability. Our findings are inconsistent with many leading theories. |
| Databáze: |
OpenAIRE |
| Externí odkaz: |
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