Abstract

http://ssrn.com/abstract=1923822
 
 

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Equity Yields


Jules H. Van Binsbergen


University of Pennsylvania - The Wharton School; National Bureau of Economic Research (NBER)

Wouter Hueskes


APG Asset Management

Ralph S. J. Koijen


London Business School - Department of Finance; National Bureau of Economic Research (NBER)

Evert B. Vrugt


VU University Amsterdam, PGO-IM

March 14, 2012

Chicago Booth Research Paper No. 11-33
Fama-Miller Working Paper

Abstract:     
We study a new data set of dividend derivatives 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 the equity yields to obtain a term structure of expected dividend growth rates and a term structure of risk premia, which decomposes the equity risk premium by maturity. We find that the slope of the term structure of risk premia is pro-cyclical, whereas the slope of the term structure of expected dividend growth rates is counter-cyclical. The comovement of yields across regions is on average higher for long-maturity yields than for short-maturity yields, whereas the variation in this comovement is much higher for short-maturity yields.

Number of Pages in PDF File: 51

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Date posted: September 8, 2011 ; Last revised: September 15, 2013

Suggested Citation

van Binsbergen, Jules H. and Hueskes, Wouter and Koijen, Ralph S. J. and Vrugt, Evert B., Equity Yields (March 14, 2012). Chicago Booth Research Paper No. 11-33; Fama-Miller Working Paper. Available at SSRN: http://ssrn.com/abstract=1923822 or http://dx.doi.org/10.2139/ssrn.1923822

Contact Information

Jules H. Van Binsbergen
University of Pennsylvania - The Wharton School ( email )
3641 Locust Walk
Philadelphia, PA 19104-6365
United States
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
HOME PAGE: http://www.nber.org/people/jules_vanbinsbergen
Wouter Hueskes
APG Asset Management ( email )
Schiphol Boulevard 239
1118 BH Schiphol
Netherlands
Ralph S. J. Koijen (Contact Author)
London Business School - Department of Finance ( email )
Sussex Place
Regent's Park
London NW1 4SA
United Kingdom
National Bureau of Economic Research (NBER) ( email )
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Evert B. Vrugt
VU University Amsterdam, PGO-IM ( email )
De Boelelaan 1105
Amsterdam, ND North Holland 1081 HV
Netherlands
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