La remunerazione degli azionisti e la struttura a scadenza dell'equity

Recent research by van Binsbergen, Brandt and Koijen (2012) empirically analyzes term structure properties of the equity premium by recovering prices of the short-term component of the market index. This short-term asset, or dividend strip, pays the dividends on the index over the near horizon only, and hence is short-term relative to the index. The authors' clever empirical approach presents many novel results that are inconsistent with many leading theories in asset pricing. Starting from this paper, I analyze the literature which concerns dividend strips and dividend futures. I review both theoretical and empirical researches. Moreover, I also examine the researches which study the term structure of equity considering the whole shareholders remuneration, namely both dividends and net repurchases.\\ The second part of this work proposes a simplified version of the model of Giglio, Kelly and Kozak (2020) which build the term structure of equity without using dividend strips and dividend futures data but simply equity returns. Differently from their study, I utilise the data about dividend yields, returns and payout yields from Eaton and Paye (2017) which recover a larger sample, from 1926 to 2019. Furthermore, instead of involving many equity portfolios as Giglio et al. (2020), I analyze the model using only the market portfolio. In addition, I introduce in the economy dynamics also three macro-variables, i.e. the inflation rate, the unemployment rate and the GDP growth. I estimate the parameters using an approach based on the VAR system and method of moments in order to produce realistic dividend strips and equity term structure that best match the empirical ones. Finally, I compare my results with the ones of Giglio et al. (2020) and I investigate the role of net repurchases.