The Term Structure of Equity Returns: Risk or Mispricing?

2015 ◽  
Author(s):  
Michael Weber
Keyword(s):  
Term Structure ◽  
Equity Returns

scholarly journals On the Timing and Pricing of Dividends: Comment

2016 ◽  
Vol 106 (10) ◽  
pp. 3185-3223 ◽  
Author(s):  
Florian Schulz
Keyword(s):  
Term Structure ◽  
Risk Premium ◽  
Risk Premia ◽  
Equity Returns ◽  
Equity Risk Premium ◽  
Short Term ◽  
Equity Risk ◽  
Market Portfolio ◽  
Show Evidence

I present novel empirical evidence on the term structure of the equity risk premium. In contrast to previous research that documented high discount rates for the short-term component of the market portfolio, I show evidence for an unconditionally flat term structure of equity risk premia. The tension with previous literature arises largely as a result of differential treatments of heterogeneous investment taxes, manifested in micro evidence on abnormal equity returns on ex-dividend days, and liquidity. The results not only help resolve an important recent “puzzle” but provide further important insights on the role of investment taxes in asset pricing. (JEL G11, G12, G35)

Horizon Bias and the Term Structure of Equity Returns

2019 ◽  
Author(s):  
Stefano Cassella ◽  
Benjamin Golez ◽  
Huseyin Gulen ◽  
Peter Kelly
Keyword(s):  
Term Structure ◽  
Equity Returns

Production-Based Term Structure of Equity Returns

2012 ◽  
Author(s):  
Hengjie Ai ◽  
Mariano Massimiliano Croce ◽  
Anthony M. Diercks ◽  
Kai Li
Keyword(s):  
Term Structure ◽  
Equity Returns

scholarly journals News Shocks and the Production-Based Term Structure of Equity Returns

2018 ◽  
Vol 31 (7) ◽  
pp. 2423-2467 ◽  
Author(s):  
Hengjie Ai ◽  
Mariano Max Croce ◽  
Anthony M Diercks ◽  
Kai Li
Keyword(s):  
Term Structure ◽  
Equity Returns ◽  
News Shocks

Production-Based Term Structure of Equity Returns

2013 ◽  
Author(s):  
Mariano Massimiliano Croce ◽  
Hengjie Ai ◽  
Anthony M. Diercks ◽  
Kai Li
Keyword(s):  
Term Structure ◽  
Equity Returns

Why Do Valuation Ratios Forecast Long-Run Equity Returns?

CFA Digest ◽  
1999 ◽  
Vol 29 (4) ◽  
pp. 60-62
Author(s):  
Thomas J. Latta
Keyword(s):  
Equity Returns ◽  
Long Run ◽  
Valuation Ratios
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