In:
American Economic Review, American Economic Association, Vol. 102, No. 4 ( 2012-06-01), p. 1596-1618
Abstract:
We present evidence on the term structure of the equity premium. We recover prices of dividend strips, which are short-term assets that pay dividends on the stock index every period up to period T and nothing thereafter. It is short-term relative to the index because the index pays dividends in perpetuity. We find that expected returns, Sharpe ratios, and volatilities on short-term assets are higher than on the index, while their CAPM betas are below one. Short-term assets are more volatile than their realizations, leading to excess volatility and return predictability. Our findings are inconsistent with many leading theories.
Type of Medium:
Online Resource
ISSN:
0002-8282
DOI:
10.1257/aer.102.4.1596
Language:
English
Publisher:
American Economic Association
Publication Date:
2012
detail.hit.zdb_id:
203590-X
detail.hit.zdb_id:
2009979-4
