Date of this Version
Journal of Financial Economics
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.
© 2013. This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/.
van Binsbergen, J., Hueskes, W., Koijen, R., & Vrugt, E. (2013). Equity Yields. Journal of Financial Economics, 110 (3), 503-519. http://dx.doi.org/10.1016/j.jfineco.2013.08.017
Date Posted: 27 November 2017
This document has been peer reviewed.