Equity Term Structures without Dividend Strips Data
We use a large cross section of equity returns to estimate a rich affine model of equity prices, dividends, returns, and their dynamics. Our model prices dividend strips of the market and equity portfolios without using strips data in the estimation. Yet model-implied equity yields closely match yields on traded strips. Our model extends equity term-structure data over time (to the 1970s) and across maturities, and generates term structures for various equity portfolios.
A New Model for Investors to Evaluate Equity Terms
Smith finance professor Serhiy Kozak and co-authors Stefano Giglio and Bryan Kelly developed a new asset pricing model to evaluate risky investments by predicting term structures of discount rates. Their model, validated with 45 years of data, excludes reliance on dividend strip data while accurately pricing S&P 500 and equity portfolios.
The Smith School Recognizes Its Outstanding Faculty and Staff at 2024 Assembly
The globally renowned Smith School excels in business research and offers a top-tier educational experience within a supportive community. Annually, it honors outstanding faculty and staff with prestigious awards.
Maryland Smith’s Serhiy Kozak Wins Journal of Financial Economics Best Paper Prize
Maryland Smith’s Serhiy Kozak won the 2020 Fama-DFA Prize for the best paper published in the Journal of Financial Economics in the area of capital markets and asset pricing. Kozak’s research, “Shrinking the Cross Section,” was published in the February 2020 issue of the journal.
Correcting the Course of Factor Models
Researchers have struggled with using characteristics-based factor models to summarize cross-sections of stock returns. Homing in on a few characteristics was seen as a potential solution. But new Maryland Smith research has other ideas.
Getting to the Bottom of Discount Rate Variation
New research is important for understanding which economic forces might move expected stock returns in the first place.
Why it Takes More Than Just Good Timing to Succeed in the Market
Some traders time the market, others look for signs to get the most bang for their buck. But what’s the best method? Both, says new research.