News Shocks and the Production-Based Term Structure of Equity Returns
构建了一个基于生产的均衡模型，研究现金流时间与预期回报的关系，统一解释了权益回报期限结构的斜率特征、商业周期变化以及账面市值比组合中现金流久期与预期回报的负相关关系。
We propose a production-based general equilibrium model to study the link between timing of cash flows and expected returns, both in the cross-section of stocks and along the aggregate equity term structure. Our model incorporates long-run growth news with time-varying volatility and slow learning about the exposure that firms have with respect to these shocks. Our framework provides a unified explanation of the stylized features of the slope of the term structure of equity returns, its variations over the business cycle, and the negative relationship between cash-flow duration and expected returns in the cross-section of book-to-market-sorted portfolios. Received May 27, 2017; editorial decision October 12, 2017 by Editor Itay Goldstein.