Equity yields
By: Jules H. van Binsbergen ... [et al.].
Contributors: National Bureau of Economic Research
Series: NBER working paper series -- working paper 17416; Working paper series (National Bureau of Economic Research : Online) -- working paper no. 17416.
Publisher: National Bureau of Economic Research
Published: 2011
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Description: "We study a new data set of prices of traded dividends with maturities up to 10 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 these yields to obtain a term structure of expected dividend growth rates and a term structure of risk premia, which allows us to decompose the equity risk premium by maturity.  We find that both expected dividend growth rates and risk premia exhibit substantial variation over time, particularly for short maturities.  In addition to predicting dividend growth, equity yields help predict other measures of economic growth such as consumption growth.  We relate the dynamics of growth expectations to recent events such as the financial crisis and the earthquake in Japan"--National Bureau of Economic Research web site.
Notes: Title from PDF file as viewed on 12/1/2011.

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