Posts Tagged ‘yield

03
Oct
11

Paper: Equity Yields

Equity Yields

Abstract
We study a new data set of prices of traded dividends 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 these yields to obtain a term structure of expected dividend growth rates and a term structure of risk premia, which allows us to decompose the equity risk premium by maturity. We find that both expected dividend growth rates and risk premia exhibit substantial variation over time, particularly for short maturities. In addition to predicting dividend growth, equity yields help predict other measures of economic growth such as consumption growth. We relate the dynamics of growth expectations to recent events such as the financial crisis and the earthquake in Japan.

Link al Paper

18
Aug
11

Gráfico du Jour: Perspectiva histórica…

(Fuente: EconomPic Data)

29
Apr
11

Gráfico du Jour: Impacto del USA QE2

(Fuente: Forex Blog)

10
Feb
11

Gráfico du Jour: Yield vs. Riesgo

(Fuente: JP Morgan, via FT Alphaville)

26
Oct
10

Gráfico du Jour: Zombies, producto de las tasas bajas

(Fuente y Terminologia: EconomPICData)

06
Jun
10

Performance anual hasta ahora

(Fuente: Finviz.com, via Infectious Greed)

09
Apr
10

Gráfico du Jour: Yields…

(Fuente: JP Morgan, via Infectious Greed)




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