Journal of Financial and Quantitative Analysis Vol. 55 No. 4 2020
Dividend Risk Premia
Abstract
This article studies time variation in the expected excess returns of traded claims on dividends, bonds, and stock indices for international markets. We introduce a novel dividend risk factor that complements the bond risk factor of Cochrane and Piazzesi (2005). By aggregating over 4 regions (United States, United Kingdom, Eurozone, and Japan), we create global dividend and bond factors. Our global 2-factor model captures the excess returns of most Morgan Stanley Capital International (MSCI) country indices, as well as a variety of other test assets. Our findings highlight the value of the information contained in dividend and bond forward curves and suggest substantial comovement in international risk premia.
- DOI
- 10.1017/s0022109019000309
- Volume
- 55
- Issue
- 4
- Pages
- 1199-1242
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref