主题：Is The Term Structure of Equity Risk Premia Upward Sloping? （股权风险溢价的期限结构是否呈向上倾斜）Risk Evolution With Firm Dynamics （企业动态的风险进化）
主讲人：Ravi Bansal, 杜克大学富卡商德州扑克大小
金融学教授，美国国家经济研究局副研究员
日期：2018年9月5日（周三）
时间：上午10:00 - 11:30
地点：德州扑克大小
金融德州扑克大小
4号楼101教室
语言：英文
摘要：
Yes!
We provide a comprehensive and detailed analysis of the economic information
contained in traded equity dividend strips using data from 2004-2017 for
S&P 500, Nikkei 225, and Eurostoxx 50. First, we find that dividend strip
returns are increasing with maturity (1 to 7 years). Second, we find that mean
strip returns and strip yields are strongly upward sloping during normal times
and are downward sloping during recessions. Using new data on bidask spreads
and trade volume we document that the bid-ask spreads are large and increase
with maturity. We show the bid-ask spread adjusted return also increase with
maturity.
In
this paper we present new evidence of a positive relation between dividend
growth and returns in the panel of publicly traded US equity. We show that this
evidence is strongly suggestive of stochastic, non-stationary time series
variation growth risk within _rms, a phenomenon we call a risky growth path.
主讲人简介:
Ravi Bansal is J.B. Fuqua Professor of Finance at
the Fuqua School of Business, Duke University and research associate of the
National Bureau of Economic Research. Bansal conducts research which focuses on
asset pricing, long run risks, money and liquidity, and more recently on
climate change and socially responsible investing from the perspective of
financial economics. His papers have appeared in leading journals, including
the Journal of Finance, Review of Economic Studies, Journal of
Political Economy, Review of Financial Studies, American Economic
Review, and Journal of Econometrics. His work on Long-Run Risks received
the Smith Breeden distinguished paper award and is also acknowledged in the
scientific background article for the 2013 Nobel Prize in Economics. Many of
his PhD students are placed at leading academic institutions and investment
banks.
