期刊
JOURNAL OF FINANCIAL ECONOMICS
卷 122, 期 1, 页码 116-134出版社
ELSEVIER SCIENCE SA
DOI: 10.1016/j.jfineco.2015.11.002
关键词
Recovery; Rare disasters; Term structures of equity; Dividend strips; Asset pricing puzzles
资金
- University of Toronto
- Connaught New Researcher Award
- Collegio Carlo Alberto
Recent empirical findings document downward-sloping term structures of equity return volatility and risk premia. An equilibrium model with rare disasters followed by recoveries helps reconcile theory with empirical observations. Indeed, recoveries outweigh the upward-sloping effect of time-varying disaster intensity and expected growth, generating downward-sloping term structures of dividend growth risk, equity return volatility, and equity risk premia. In addition, the term structure of interest rates is upward-sloping when accounting for recoveries and downward-sloping otherwise. The model quantitatively reconciles high risk premia and a low risk-free rate with the shape of the term structures, which are at odds in other models. (C) 2016 Elsevier B.V. All rights reserved.
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