Global Equity Yields

73 Pages Posted: 8 Feb 2023

Date Written: February 6, 2023

Abstract

We construct a panel of global equity yields by modifying the model of Giglio et al. (2021) so it works internationally. We revisit stylized facts about equity yields, primarily based on US data, and provide several new results. On old facts, we study the dynamics of global equity yields, their slopes, and the relative contribution of risk premium and growth expectations in explaining variation in yields. On new facts, we study comovements in risk premia and growth expectations across markets and Fama French portfolios, estimate the term-structure of the global equity risk premium, and link yields to changes in exchange rates and future macroeconomic outcomes.

Keywords: International Finance, Equity Yields, Term-Structure, Equity Risk Premium, Dividend Growth Expectations, Exchange Rate Predictability

JEL Classification: G11, G12, G15

Suggested Citation

Soerlie Kvaerner, Jens and Sandoval, Jan, Global Equity Yields (February 6, 2023). Proceedings of the EUROFIDAI-ESSEC Paris December Finance Meeting 2023, Available at SSRN: https://ssrn.com/abstract=4349713 or http://dx.doi.org/10.2139/ssrn.4349713

Jens Soerlie Kvaerner (Contact Author)

Tilburg University ( email )

Warandelaan 2
Tilburg, -- 4818HK
Norway
40242704 (Phone)
0364 (Fax)

HOME PAGE: http://www.jenskvaerner.com/

Jan Sandoval

Tilburg University ( email )

P.O. Box 90153
Tilburg, DC Noord-Brabant 5000 LE
Netherlands

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