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A Model-Free Term Structure of U.S. Dividend Premiums
Ulrich, Maxim - 2019
We construct a model-free term structure of dividend risk premiums from option prices and aggregate analyst forecasts … decreases during expansions. The on average negative dividend term premium steepens in contractions and flattens in expansions …, driven by strong variations in short-horizon dividend premiums. Buying the next year of S&P 500 dividends whenever the one …
Persistent link: https://www.econbiz.de/10012898729
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The present value model of U.S. stock prices revisited : long-run evidence with structural breaks, 1871-2012
Esteve García, Vicente; Navarro Ibáñez, Manuel; … - 2017
According to several empirical studies, the Present Value model fails to explain the behaviour of stock prices in the long-run. In this paper, the authors consider the possibility that a linear cointegrated regression model with multiple structural changes would provide a better empirical...
Persistent link: https://www.econbiz.de/10011745419
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Endogenous dividend dynamics and the term structure of dividend strips
Belo, Frederico; Collin-Dufresne, Pierre; Goldstein, … - 2012
Persistent link: https://www.econbiz.de/10009666681
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An extended macro-finance model with financial factors
Dewachter, Hans; Iania, Leonardo - 2010
This paper extends the benchmark Macro-Finance model by introducing, next to the standard macroeconomic factors, additional liquidity-related and return forecasting factors. Liquidity factors are obtained from a decomposition of the TED spread while the return-forecasting (risk premium) factor...
Persistent link: https://www.econbiz.de/10003937808
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The term structure of risk premia : new evidence from the financial crisis
Berg, Tobias - 2010
This study calibrates the term structure of risk premia before and during the 2007/2008 financial crisis using a new calibration approach based on credit default swaps. The risk premium term structure was flat before the crisis and downward sloping during the crisis. The instantaneous risk...
Persistent link: https://www.econbiz.de/10003971282
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Ambiguity aversion and the term structure of interest rates
Gagliardini, Patrick; Porchia, Paolo; Trojani, Fabio - 2008
This paper studies the term structure implications of a simple structural economy in which the representative agent displays ambiguity aversion, modeled by Multiple Priors Recursive Utility. Bond excess returns reflect a premium for ambiguity, which is observationally distinct from the risk...
Persistent link: https://www.econbiz.de/10003961717
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On bounding credit event risk premia
Bai, Jennie; Collin-Dufresne, Pierre; Goldstein, Robert S. - 2012
Reduced-form models of default that attribute a large fraction of credit spreads to compensation for credit event risk typically preclude the most plausible economic justification for such risk to be priced--namely, a "contagious" response of the market portfolio during the credit event. When...
Persistent link: https://www.econbiz.de/10009657657
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Pricing TIPS and treasuries with linear regressions
Abrahams, Michael; Adrian, Tobias; Crump, Richard K.; … - 2012
We present an affine term structure model for the joint pricing of Treasury Inflation-Protected Securities (TIPS) and Treasury yield curves that adjusts for TIPS' relative illiquidity. Our estimation using linear regressions is computationally very fast and can accommodate unspanned factors. The...
Persistent link: https://www.econbiz.de/10009624301
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Term structures of asset prices and returns
Backus, David; Boyarchenko, Nina; Chernov, Mikhail - 2016
We explore the term structures of claims to a variety of cash flows: U.S. government bonds (claims to dollars), foreign government bonds (claims to foreign currency), inflation-adjusted bonds (claims to the price index), and equity (claims to future equity indexes or dividends). Average term...
Persistent link: https://www.econbiz.de/10011457568
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Dynamic Term Structure Models : The Best Way to Enforce the Zero Lower Bound in the United States
Andreasen, Martin M. - 2015
This paper studies whether dynamic term structure models for US nominal bond yields should enforce the zero lower bound by a quadratic policy rate or a shadow rate specification. We address the question by estimating quadratic term structure models (QTSMs) and shadow rate models (SRMs) with at...
Persistent link: https://www.econbiz.de/10013014541