2012
DOI: 10.2139/ssrn.1923822
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Equity Yields

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Cited by 18 publications
(31 citation statements)
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“…But its simplicity leads to two important empirical shortcomings. 15 First, since consumption is a martingale, the only state variable that is relevant for asset returns is Λ t+1 . This property means that all asset returns are highly correlated with each other and with the price-dividend ratio.…”
Section: The Extended Modelmentioning
confidence: 99%
“…But its simplicity leads to two important empirical shortcomings. 15 First, since consumption is a martingale, the only state variable that is relevant for asset returns is Λ t+1 . This property means that all asset returns are highly correlated with each other and with the price-dividend ratio.…”
Section: The Extended Modelmentioning
confidence: 99%
“…We make best use of the available data by mixing two-quarter strip prices from Binsbergen, Brandt, and Koijen (2012) with summary statistics for y n t − y n t , n ≥ 4 quarters from Binsbergen, Hueskes, Koijen, and Vrugt (2013) and making a number of bold assumptions (see the description in Table 2 and Appendix C). All of this evidence is worth revisiting as more data become available.…”
Section: Equitymentioning
confidence: 99%
“…Specifically, they report averages that are estimates of k −1 [E log d So, the Binsbergen, Hueskes, Koijen, and Vrugt (2013) statistic allows computing average term spread in excess returns.…”
Section: Details Of the Dividend Stripsmentioning
confidence: 99%
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