Dealer Funding Costs: Implications for the Term Structure of Dividend Risk Premia

2016 ◽  
Author(s):  
Yang Song
Keyword(s):  
Term Structure ◽  
Risk Premia

Risk Premia and Wishart Term Structure Models

2010 ◽  
Author(s):  
Carl Chiarella ◽  
Chih-Ying Hsiao ◽  
Thuy Duong To
Keyword(s):  
Term Structure ◽  
Risk Premia ◽  
Term Structure Models

The term structure of equity and variance risk premia

2020 ◽  
Vol 219 (2) ◽  
pp. 204-230 ◽  
Author(s):  
Yacine Aït-Sahalia ◽  
Mustafa Karaman ◽  
Loriano Mancini
Keyword(s):  
Term Structure ◽  
Risk Premia ◽  
Variance Risk

scholarly journals Bond Risk Premia and Gaussian Term Structure Models

2018 ◽  
Vol 64 (3) ◽  
pp. 1413-1439 ◽  
Author(s):  
Bruno Feunou ◽  
Jean-Sébastien Fontaine
Keyword(s):  
Term Structure ◽  
Risk Premia ◽  
Term Structure Models ◽  
Bond Risk Premia ◽  
Bond Risk

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)

Risk Premia and the VIX Term Structure

2017 ◽  
Vol 52 (6) ◽  
pp. 2461-2490 ◽  
Author(s):  
Travis L. Johnson
Keyword(s):  
Term Structure ◽  
Principal Component ◽  
Risk Premia ◽  
Expectations Hypothesis ◽  
Variance Swaps ◽  
Volatility Index ◽  
Asset Pricing Models ◽  
Vix Futures ◽  
Synthetic Standard ◽  
Variance Risk

The shape of the Chicago Board Options Exchange Volatility Index (VIX) term structure conveys information about the price of variance risk rather than expected changes in the VIX, a rejection of the expectations hypothesis. The second principal component, SLOPE, summarizes nearly all this information, predicting the excess returns of synthetic Standard & Poor’s (S&P) 500 variance swaps, VIX futures, and S&P 500 straddles for all maturities and to the exclusion of the rest of the term structure. SLOPE’s predictability is incremental to other proxies for the conditional variance risk premia, economically significant, and inconsistent with standard asset pricing models.

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