Finance Papers

Document Type

Journal Article

Date of this Version

12-2013

Publication Source

Journal of Financial Economics

Volume

110

Issue

3

Start Page

503

Last Page

519

DOI

10.1016/j.jfineco.2013.08.017

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.

Copyright/Permission Statement

© 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/.

Comments

At the time of publication, author Jules van Binsbergen was affiliated with Stanford University and Tilburg University, The Netherlands. Currently, he is a faculty member at the Wharton School at the University of Pennsylvania.

Embargo Date

12-2017

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Date Posted: 27 November 2017

This document has been peer reviewed.