Dividend Dynamics and the Term Structure of Dividend Strips
研究发现主流资产定价模型预测的股息剥离预期收益和波动率的期限结构是向上倾斜的，但实证证据相反；通过引入产生平稳杠杆率的股息动态可以调和这一矛盾。
ABSTRACT Many leading asset pricing models are specified so that the term structure of dividend volatility is either flat or upward sloping. These models predict that the term structures of expected returns and volatilities on dividend strips (i.e., claims to dividends paid over a prespecified interval) are also upward sloping. However, the empirical evidence suggests otherwise. This discrepancy can be reconciled if these models replace their proposed dividend dynamics with processes that generate stationary leverage ratios. Under such policies, shareholders are forced to divest (invest) when leverage is low (high), which shifts risk from long‐ to short‐horizon dividend strips.