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Time Variation of the Equity Term Structure
Citations
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Cited by:
- Andrei S. Gonçalves, 2021. "Reinvestment Risk and the Equity Term Structure," Journal of Finance, American Finance Association, vol. 76(5), pages 2153-2197, October.
- Stefan Nagel & Zhengyang Xu, 2022.
"Asset Pricing with Fading Memory,"
The Review of Financial Studies, Society for Financial Studies, vol. 35(5), pages 2190-2245.
- Nagel, Stefan & Xu, Zhengyang, 2019. "Asset Pricing with Fading Memory," CEPR Discussion Papers 13973, C.E.P.R. Discussion Papers.
- Stefan Nagel & Zhengyang Xu, 2019. "Asset Pricing with Fading Memory," NBER Working Papers 26255, National Bureau of Economic Research, Inc.
- Stefan Nagel & Zhengyang Xu, 2019. "Asset Pricing with Fading Memory," 2019 Meeting Papers 71, Society for Economic Dynamics.
- Bansal, Ravi & Miller, Shane & Song, Dongho & Yaron, Amir, 2021.
"The term structure of equity risk premia,"
Journal of Financial Economics, Elsevier, vol. 142(3), pages 1209-1228.
- Ravi Bansal & Shane Miller & Dongho Song & Amir Yaron, 2019. "The Term Structure of Equity Risk Premia," NBER Working Papers 25690, National Bureau of Economic Research, Inc.
- Robert A. Connolly & Chris Stivers & Licheng Sun, 2022. "Stock returns and inflation shocks in weaker economic times," Financial Management, Financial Management Association International, vol. 51(3), pages 827-867, September.
- Matthijs Breugem & Stefano Colonello & Roberto Marfè & Francesca Zucchi, 2020.
"Dynamic Equity Slope,"
Working Papers
2020:21, Department of Economics, University of Venice "Ca' Foscari".
- Matthijs Breugem & Stefano Colonnello & Roberto Marfè & Francesca Zucchi, 2020. "Dynamic Equity Slope," Carlo Alberto Notebooks 626, Collegio Carlo Alberto.
- Matthijs Breugem & Stefano Colonnello & Roberto Marfe & Francesca Zucchi, 2024. "Dynamic Equity Slope," Carlo Alberto Notebooks 713 JEL Classification: D, Collegio Carlo Alberto.
- Suzuki, Masataka, 2024. "A consumption-based term structure model of bonds and equity," International Review of Financial Analysis, Elsevier, vol. 94(C).
- Niels Joachim Gormsen & Ralph S J Koijen & Nikolai Roussanov, 0.
"Coronavirus: Impact on Stock Prices and Growth Expectations,"
The Review of Asset Pricing Studies, Society for Financial Studies, vol. 10(4), pages 574-597.
- Niels J. Gormsen & Ralph S. J. Koijen, 2020. "Coronavirus: Impact on Stock Prices and Growth Expectations," NBER Working Papers 27387, National Bureau of Economic Research, Inc.
- Koijen, Ralph & Gormsen, Niels Joachim, 2020. "Coronavirus: Impact on Stock Prices and Growth Expectations," CEPR Discussion Papers 14875, C.E.P.R. Discussion Papers.
- Laine, Olli-Matti, 2022. "The term structure of equity premia and the macroeconomy: some results," Economics Letters, Elsevier, vol. 216(C).
- Gonçalves, Andrei S., 2021. "The short duration premium," Journal of Financial Economics, Elsevier, vol. 141(3), pages 919-945.
- Benjamin Knox & Annette Vissing-Jorgensen, 2022. "A Stock Return Decomposition Using Observables," Finance and Economics Discussion Series 2022-014, Board of Governors of the Federal Reserve System (U.S.).
- Nieto, Belén & Rubio, Gonzalo, 2022. "The risk aversion and uncertainty channels between finance and macroeconomics," Finance Research Letters, Elsevier, vol. 45(C).
- Cassella, Stefano & Golez, Benjamin & Gulen, H. & Kelly, Peter, 2023. "Horizon bias and the term structure of equity returns," Other publications TiSEM 2e72bbd4-bdc8-434c-a55c-e, Tilburg University, School of Economics and Management.
- A. Ronald Gallant & George Tauchen, 2021. "Cash Flows Discounted Using a Model-Free SDF Extracted under a Yield Curve Prior," JRFM, MDPI, vol. 14(3), pages 1-15, March.
- Niels Joachim Gormsen & Eben Lazarus, 2023. "Duration‐Driven Returns," Journal of Finance, American Finance Association, vol. 78(3), pages 1393-1447, June.
- Adem Atmaz & Suleyman Basak, 2022.
"Stock Market and No‐Dividend Stocks,"
Journal of Finance, American Finance Association, vol. 77(1), pages 545-599, February.
- Basak, Suleyman & Atmaz, Adem, 2021. "Stock Market and No-Dividend Stocks," CEPR Discussion Papers 16224, C.E.P.R. Discussion Papers.
- Li, Kai & Xu, Chenjie, 2024. "Intermediary-based equity term structure," Journal of Financial Economics, Elsevier, vol. 157(C).
- Niels J. Gormsen & Ralph S.J. Koijen, 2020. "The Corona Virus, the Stock Market’s Response, and Growth Expectations," Working Papers 2020-21, Becker Friedman Institute for Research In Economics.
- Pier dup Lopez & J. David López-Salido & Francisco Vazquez-Grande, 2015.
"Nominal Rigidities and the Term Structures of Equity and Bond Returns,"
Finance and Economics Discussion Series
2015-64, Board of Governors of the Federal Reserve System (U.S.).
- Pierlauro Lopez & J. David López-Salido & Francisco Vazquez-Grande, 2023. "Nominal Rigidities and the Term Structures of Equity and Bond Returns," Working Papers 23-11, Federal Reserve Bank of Cleveland.
- Takamizawa, Hideyuki, 2022.
"An equilibrium model of the term structures of bonds and equities,"
International Review of Financial Analysis, Elsevier, vol. 84(C).
- TAKAMIZAWA, Hideyuki & 高見澤, 秀幸, 2018. "An Equilibrium Model of Term Structures of Bonds and Equities," Working Paper Series G-1-19, Hitotsubashi University Center for Financial Research.
- Yu, Deshui & Huang, Difang, 2023. "Cross-sectional uncertainty and expected stock returns," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 321-340.
- Lorenzo Bretscher & Alex Hsu & Andrea Tamoni, 2023. "The Real Response to Uncertainty Shocks: The Risk Premium Channel," Management Science, INFORMS, vol. 69(1), pages 119-140, January.
- Jankauskas, Tomas, 2023. "Essays in empirical finance," Other publications TiSEM 4c319f87-ba97-44be-897e-1, Tilburg University, School of Economics and Management.
- Ye Li & Chen Wang, 2023. "Valuation Duration of the Stock Market," Papers 2310.07110, arXiv.org.
- Oliver Boguth & Murray Carlson & Adlai Fisher & Mikhail Simutin, 2023. "The Term Structure of Equity Risk Premia: Levered Noise and New Estimates," Review of Finance, European Finance Association, vol. 27(4), pages 1155-1182.
- Irina Zviadadze, 2021.
"Term Structure of Risk in Expected Returns [Stock returns and volatility: Pricing the short-run and long-run components of market risk],"
The Review of Financial Studies, Society for Financial Studies, vol. 34(12), pages 6032-6086.
- Zviadadze, Irina, 2018. "Term Structure of Risk in Expected Returns," CEPR Discussion Papers 13414, C.E.P.R. Discussion Papers.
- Matthijs Breugem & Roberto Marfè & Francesca Zucchi, 2020. "Corporate Policies and the Term Structure of Risk," Carlo Alberto Notebooks 627, Collegio Carlo Alberto.
- Chabi-Yo, Fousseni & Loudis, Johnathan, 2020. "The conditional expected market return," Journal of Financial Economics, Elsevier, vol. 137(3), pages 752-786.