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Time Variation of the Equity Term Structure

Citations

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Cited by:

  1. Andrei S. Gonçalves, 2021. "Reinvestment Risk and the Equity Term Structure," Journal of Finance, American Finance Association, vol. 76(5), pages 2153-2197, October.
  2. 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.
  3. 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.
  4. 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.
  5. Matthijs Breugem & Stefano Colonello & Roberto Marfè & Francesca Zucchi, 2020. "Dynamic Equity Slope," Working Papers 2020:21, Department of Economics, University of Venice "Ca' Foscari".
  6. Suzuki, Masataka, 2024. "A consumption-based term structure model of bonds and equity," International Review of Financial Analysis, Elsevier, vol. 94(C).
  7. 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.
  8. Laine, Olli-Matti, 2022. "The term structure of equity premia and the macroeconomy: some results," Economics Letters, Elsevier, vol. 216(C).
  9. Gonçalves, Andrei S., 2021. "The short duration premium," Journal of Financial Economics, Elsevier, vol. 141(3), pages 919-945.
  10. 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.).
  11. Nieto, Belén & Rubio, Gonzalo, 2022. "The risk aversion and uncertainty channels between finance and macroeconomics," Finance Research Letters, Elsevier, vol. 45(C).
  12. 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.
  13. 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.
  14. Niels Joachim Gormsen & Eben Lazarus, 2023. "Duration‐Driven Returns," Journal of Finance, American Finance Association, vol. 78(3), pages 1393-1447, June.
  15. Adem Atmaz & Suleyman Basak, 2022. "Stock Market and No‐Dividend Stocks," Journal of Finance, American Finance Association, vol. 77(1), pages 545-599, February.
  16. Li, Kai & Xu, Chenjie, 2024. "Intermediary-based equity term structure," Journal of Financial Economics, Elsevier, vol. 157(C).
  17. 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.
  18. 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.).
  19. Takamizawa, Hideyuki, 2022. "An equilibrium model of the term structures of bonds and equities," International Review of Financial Analysis, Elsevier, vol. 84(C).
  20. Yu, Deshui & Huang, Difang, 2023. "Cross-sectional uncertainty and expected stock returns," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 321-340.
  21. 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.
  22. Jankauskas, Tomas, 2023. "Essays in empirical finance," Other publications TiSEM 4c319f87-ba97-44be-897e-1, Tilburg University, School of Economics and Management.
  23. Ye Li & Chen Wang, 2023. "Valuation Duration of the Stock Market," Papers 2310.07110, arXiv.org.
  24. 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.
  25. 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.
  26. Matthijs Breugem & Roberto Marfè & Francesca Zucchi, 2020. "Corporate Policies and the Term Structure of Risk," Carlo Alberto Notebooks 627, Collegio Carlo Alberto.
  27. Chabi-Yo, Fousseni & Loudis, Johnathan, 2020. "The conditional expected market return," Journal of Financial Economics, Elsevier, vol. 137(3), pages 752-786.
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