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, 杜克大学富卡商学院金融学教授，美国国家经济研究局副研究员
时间：上午10:00 - 11:30
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.
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.