タイトル（掲載誌）Discussion Papers In Economics And Business
一般注記We present novel insights into the Japanese equity return term structure by examining the reversals of risk-adjusted returns on duration-sorted portfolios, as were particularly observed during the COVID-19 pandemic and are common during crises. Our analysis, conducted over the Japanese stock market from 1990 to 2022, reveals that market uncertainty significantly explains the returns of the long-short duration portfolio. Additionally, we find that the countercyclicality of the equity term structure can be attributed to differences in the response of returns to considerably large negative shocks. This study contributes to the understanding of the relationship between the timing of cash flows and stock returns and offers valuable implications for studies on the cross-section of stock returns.
連携機関・データベース国立情報学研究所 : 学術機関リポジトリデータベース（IRDB）（機関リポジトリ）