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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

A class of Health-Jarrow-Morton models in which the unbiased expectations hypothesis holds

Riedel, Frank - 1997

The unbiased expectations hypothesis states that forward rates are unbiased estimates for future short rates. Cox, Ingersoll and Ross [1] conjectured that this hypothesis should be inconsistent with the absence of arbitrage possibilities. Using the framework of Heath, Jarrow and Morton [4] we...

Persistent link: https://www.econbiz.de/10009632605

Accounting for macro-finance trends : market power, intangibles, and risk premia

Farhi, Emmanuel; Gourio, François - 2018

Real risk-free interest rates have trended down over the past 30 years. Puzzlingly in light of this decline, (1) the return on private capital has remained stable or even increased, creating an increasing wedge with safe interest rates; (2) stock market valuation ratios have increased only...

Persistent link: https://www.econbiz.de/10011932166

The term structure and inflation uncertainty

Breach, Tomas; D'Amico, Stefania; Orphanides, Athanasios - 2016

incorporating survey information on inflation uncertainty in the estimation. The model captures changes in premia over very diverse …

Persistent link: https://www.econbiz.de/10011749498

The term structure and inflation uncertainty

Breach, Tomas; D'Amico, Stefania; Orphanides, Athanasios - 2016

incorporating survey information on inflation uncertainty in the estimation. The model captures changes in premia over very diverse …

Persistent link: https://www.econbiz.de/10011570647

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

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

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

Non-Linearity in the Dividend Yield : A Comparison of the US and Japan

Humpe, Andreas - 2016

In order to examine non-linear predictability of the US and Japanese dividend-yield ratio, smooth transition regression … of non-linear risk aversion. Our findings support non-linearity in the US and Japanese dividend yield that might be …

Persistent link: https://www.econbiz.de/10012993353

Income insurance and the equilibrium term structure of equity

Marfè, Roberto - In: The journal of finance : the journal of the American … 72 (2017) 5, pp. 2073-2130

Persistent link: https://www.econbiz.de/10011764341