Time Variation of the Equity Term Structure
研究了不同期限股息索取权的一期预期收益的期限结构，发现其斜率呈反周期变化，且平均斜率为负，现有理论难以同时解释这两个特征，因此提出了一个双因子定价模型。
ABSTRACT I study the term structure of one‐period expected returns on dividend claims with different maturity. I find that the slope of the term structure is countercyclical. The countercyclical variation is consistent with theories of long‐run risk and habit, but these theories cannot explain the average downward slope. At the same time, the cyclical variation is inconsistent with recent models constructed to match the average downward slope. More generally, the average and cyclicality of the slope are hard to reconcile with models with a single risk factor. I introduce a model with two priced factors to solve the puzzle.