The Term Structure of Returns: Facts and Theory

Jules van Binsbergen and Ralph Koijen

No 21234, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: We summarize and extend the new literature on the term structure of equity. Short-term equity claims, or dividend strips, have on average significantly higher returns than the aggregate stock market. The returns on short-term dividend claims are risky as measured by volatility, but safe as measured by market beta. These facts are hard to reconcile with traditional macro-finance models and we provide an overview of new models that can reproduce some of these facts. We relate our evidence on dividend strips to facts about other asset classes such as nominal and corporate bonds, volatility, and housing. We conclude by discussing the broader economic implications by linking the term structure of returns to real economic decisions such as hiring and investment.

JEL-codes: G12 (search for similar items in EconPapers)
Date: 2015-06
New Economics Papers: this item is included in nep-fmk
Note: AP
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (23)

Published as Jules H. van Binsbergen & Ralph S.J. Koijen, 2017. "The term structure of returns: Facts and theory," Journal of Financial Economics, vol 124(1), pages 1-21.

Downloads: (external link)
http://www.nber.org/papers/w21234.pdf (application/pdf)

Related works:
Journal Article: The term structure of returns: Facts and theory (2017)
Working Paper: The Term Structure of Returns: Facts and Theory (2015)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:nbr:nberwo:21234

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w21234

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().