Correlated Cashflow Shocks, Asset Prices, and the Term Structure of Equity

The term structure of equity risk premium is moderately downward-sloping unconditionally, markedly downward-sloping in good times, and markedly upward-sloping in bad times. An asset-pricing model featuring time-varying correlation between realized and expected cashflow shocks explains these puzzling...

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Veröffentlicht in:	Management science 2023-09, Vol.69 (9), p.5560-5577
1. Verfasser:	Hasler, Michael
Format:	Artikel
Sprache:	eng
Schlagworte:	Assets correlated cashflow shocks Correlation analysis dividend strips Equity equity term structure Insurance premiums Management science Prices Private equity risk premium Risk premiums volatility
Online-Zugang:	Volltext
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