Equity Term Structures without Dividend Strips Data
Journal of Finance, Forthcoming
94 Pages Posted: 12 Mar 2020 Last revised: 7 Dec 2023
There are 2 versions of this paper
Equity Term Structures without Dividend Strips Data
Equity Term Structures Without Dividend Strips Data
Date Written: December 7, 2023
Abstract
We use a large cross-section of equity returns to estimate a rich affine model of equity prices, dividends, returns and their dynamics. Our model prices dividend strips of the market and equity portfolios without using strips data in the estimation. Yet, model-implied equity yields closely match yields on traded strips. Our model extends equity term-structure data over time (to the 1970s) and across maturities, and generates term structures for various equity portfolios. The novel cross-section of term structures from our model covers 45 years and includes several recessions, providing a novel set of empirical moments to discipline asset pricing models.
Keywords: equity strips, risk premia, dividend claims, term structure
JEL Classification: G11, G12
Suggested Citation: Suggested Citation