Term Structure of Dividends: Theory and Empirics

2023 Fiscal Year Final Research Report

• Project/Area Number: 18K01678
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Multi-year Fund
• Section: 一般
• Review Section: Basic Section 07060:Money and finance-related
• Research Institution: Chuo University (2019-2023); Hitotsubashi University (2018)
• Principal Investigator: TAKAMIZAWA Hideyuki 中央大学, 商学部, 教授 (60361854)
• Project Period (FY): 2018-04-01 – 2024-03-31
• Keywords: 金利 / 配当 / 期間構造 / リスクプレミアム

Outline of Final Research Achievements

This research project proposes an equilibrium model of the term structures of interest rates and stock dividends, which has an equal descriptive power to reduced-form models that can be specified more flexibly than equilibrium models. A novel feature of the proposed model is that the preference parameters of a representative investor's utility function depend on state variables of the economy and financial markets, which is the key to generating various shapes of the term structures. While the risk aversion implied in the initial calibration is too large and volatile, it becomes reasonable by slightly reducing a model-producing slope of the dividend term structure.

Free Research Field

ファイナンス

Academic Significance and Societal Importance of the Research Achievements

学術的意義として、誘導型モデルと同程度の記述力を持つ均衡型モデルを構築した点、並びにそれを達成するための１つのメカニズム（選好の状態依存）を提示した点を挙げる。実用面では、リスクのあるキャッシュフローの期間構造を高い精度で記述できるモデルは、企業や投資プロジェクトの価値評価に役立つ。投資家のリスク回避度が大きく変動することを明らかにしたことは、ETF買入などの非伝統的金融政策には株価の下支え以上の効果があることを示唆する。