Equity yields
Vrugt,E. van Binsbergen,J.H. Koijen,R.S.J. Hueskes,W.
Vrugt,E.
van Binsbergen,J.H.
Koijen,R.S.J.
Hueskes,W.
Abstract
We study a new data set of dividend futures with maturities up to ten years across three world regions: the US, Europe, and Japan. We use these asset prices to construct equity yields, analogous to bond yields. We decompose the equity yields to obtain a term structure of expected dividend growth rates and a term structure of risk premia, which decomposes the equity risk premium by maturity. We find that the slope of the term structure of risk premia is pro-cyclical, whereas the slope of the term structure of expected dividend growth rates is counter-cyclical. The comovement of yields across regions is, on average, higher for long-maturity yields than for short-maturity yields, whereas the variation in this comovement is much higher for short-maturity yields
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Date
2013
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Vrugt, E, van Binsbergen, J H, Koijen, R S J & Hueskes, W 2013, 'Equity yields', Journal of Financial Economics, vol. 110, no. 3, pp. 503-519. https://doi.org/10.1016/j.jfineco.2013.08.017