How do macroeconomic events affect the term structure of equity returns? We document that the term structure of equity excess returns is upward sloping on federal fund rate announcement days but not on nonannouncement days. The dividend strips respond significantly to macroeconomic news and the strength of the announcement response declines with the maturity of the dividend asset. Our analysis reveals that nonfarm payrolls surprises have the largest impact on the term structure of dividend strips. The cash flow and discount rate channels both contribute to the response of the dividend asset to macroeconomic news.

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剖析宏观经济新闻

宏观经济事件如何影响股票收益的期限结构？我们记录了股票超额收益的期限结构在联邦基金利率公告日但不是在非公告日向上倾斜。股利条对宏观经济消息反应显着，公告反应强度随股利资产到期而下降。我们的分析表明，非农就业数据意外对股息条的期限结构影响最大。现金流和折现率渠道都有助于股息资产对宏观经济消息的反应。