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Equity yields
Binsbergen, Jules H. van; Hueskes, Wouter; Koijen, … - 2011
Persistent link: https://www.econbiz.de/10009312670
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Empirical Asset Pricing via Machine Learning : Evidence from the European Stock Market
Drobetz, Wolfgang - 2020
This paper evaluates the performance of machine learning methods in forecasting stock returns. Compared to a linear benchmark model, interactions and non-linear effects help improve predictive performance. But machine learning models must be adequately trained and tuned to overcome the high...
Persistent link: https://www.econbiz.de/10012829491
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Equity yields
Binsbergen, Jules H. van; Hueskes, Wouter; Koijen, … - In: Journal of financial economics 110 (2013) 3, pp. 503-519
Persistent link: https://www.econbiz.de/10010255209
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Equity Yields
van Binsbergen, Jules H. - 2011
to obtain a term structure of expected dividend growth rates and a term structure of risk premia, which allows us to … decompose the equity risk premium by maturity. We find that both expected dividend growth rates and risk premia exhibit … substantial variation over time, particularly for short maturities. In addition to predicting dividend growth, equity yields help …
Persistent link: https://www.econbiz.de/10013120296
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Equity Yields
van Binsbergen, Jules H. - 2013
We study a new data set of dividend derivatives with maturities up to 10 years across three world regions: the US … yields to obtain a term structure of expected dividend growth rates and a term structure of risk premia, which decomposes the … slope of the term structure of expected dividend growth rates is counter-cyclical. The comovement of yields across regions …
Persistent link: https://www.econbiz.de/10013092450
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The Term Structure of Equity Yields - A Bottom-Up Approach
Schröder, David - 2021
curve from market dividend futures, we aggregate equity yields of individual firms over the market. This approach allows …
Persistent link: https://www.econbiz.de/10013244601
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Equity Yields
van Binsbergen, Jules H. - 2011
to obtain a term structure of expected dividend growth rates and a term structure of risk premia, which allows us to … decompose the equity risk premium by maturity. We find that both expected dividend growth rates and risk premia exhibit … substantial variation over time, particularly for short maturities. In addition to predicting dividend growth, equity yields help …
Persistent link: https://www.econbiz.de/10012461242
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Global Equity Yields
Soerlie Kvaerner, Jens; Sandoval, Jan - 2023
We construct a panel of global equity yields by modifying the model of Giglio et al. (2021) so it works internationally. We revisit stylized facts about equity yields, primarily based on US data, and provide several new results. On old facts, we study the dynamics of global equity yields, their...
Persistent link: https://www.econbiz.de/10014254722
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Equity Yields
van Binsbergen, Jules H. - 2013
We study a new data set of dividend derivatives with maturities up to 10 years across three world regions: the US … yields to obtain a term structure of expected dividend growth rates and a term structure of risk premia, which decomposes the … slope of the term structure of expected dividend growth rates is counter-cyclical. The comovement of yields across regions …
Persistent link: https://www.econbiz.de/10013093918
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European equity markets : who is the truly representative investor?
Rojo Suárez, Javier; Alonso Conde, Ana Belén; Ferrero … - In: The quarterly review of economics and finance : journal … 75 (2020), pp. 325-346
Persistent link: https://www.econbiz.de/10012416960