Equity Term Structures without Dividend Strips Data

Journal of Finance, Forthcoming

94 Pages Posted: 12 Mar 2020 Last revised: 7 Dec 2023

See all articles by Stefano Giglio

Stefano Giglio

Yale School of Management; National Bureau of Economic Research (NBER); Centre for Economic Policy Research (CEPR)

Bryan T. Kelly

Yale SOM; AQR Capital Management, LLC; National Bureau of Economic Research (NBER)

Serhiy Kozak

University of Maryland - Robert H. Smith School of Business

Multiple version iconThere are 2 versions of this paper

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

Giglio, Stefano and Kelly, Bryan T. and Kozak, Serhiy, Equity Term Structures without Dividend Strips Data (December 7, 2023). Journal of Finance, Forthcoming, Available at SSRN: https://ssrn.com/abstract=3533486 or http://dx.doi.org/10.2139/ssrn.3533486

Stefano Giglio

Yale School of Management ( email )

135 Prospect Street
P.O. Box 208200
New Haven, CT 06520-8200
United States

National Bureau of Economic Research (NBER) ( email )

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Centre for Economic Policy Research (CEPR) ( email )

London
United Kingdom

Bryan T. Kelly

Yale SOM ( email )

135 Prospect Street
P.O. Box 208200
New Haven, CT 06520-8200
United States

AQR Capital Management, LLC ( email )

Greenwich, CT
United States

National Bureau of Economic Research (NBER) ( email )

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Serhiy Kozak (Contact Author)

University of Maryland - Robert H. Smith School of Business ( email )

7621 Mowatt Ln
College Park, MD 20742
United States

HOME PAGE: http://serhiykozak.com

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