Stock Market and No‐Dividend Stocks
在消费基础均衡框架中引入无股息股票，发现该特征能解释股票市场回报与消费增长的低相关性、风险溢价与波动率的非单调甚至负向关系，以及向下倾斜的股权风险溢价期限结构。
ABSTRACT We develop a stationary model of the aggregate stock market featuring both dividend‐paying and no‐dividend stocks within a familiar, parsimonious consumption‐based equilibrium framework. We find that such a simple feature leads to profound implications supporting several stock market empirical regularities that leading consumption‐based asset pricing models have difficulty reconciling. Namely, the presence of no‐dividend stocks in the stock market leads to a lower correlation between stock market returns and the aggregate consumption growth rate, a nonmonotonic and even negative relation between the stock market risk premium and its volatility, and a downward‐sloping term structure of equity risk premia.