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选文:曹立群 审稿:陈倩 终审:赵海蕾 编辑:邵天
由Michael Weber撰写的“The Term Structure of Equity Returns: Risk or Mispricing?”指出，与一般向上倾斜的期限结构形态不同，文献揭示股票收益的期限结构（Dechow et al., 2004最早使用股票“现金流期限结构”之称）向下倾斜，久期长的股票现金流集中在未来，其收益率低于久期短的股票。向下倾斜的期限结构并不一定是一个谜团(Puzzle)，因为这可能是风险所致。另一个替代假说为错误定价。久期长的多为年轻公司，股息率与ROE都低，但基本面增长快，投资者可能会对这类股票过度乐观。本文证据支持错误定价假说，发现久期长且有卖空约束的股票会出现短暂的价格高估。用机构持股作为卖空约束的代理变量，发现久期长股票的低收益率主要集中在有卖空约束的组合中：卖空约束最强的股票，其久期长与久期短组合的Fama-French alpha之差为1.52%/月。该差距随着卖空约束的弱化而单调递减。卖空约束最弱的股票，差距降为0.29%/月且不显著。以上效应在投资者情绪高涨时会更强，因为此时高估的股票错误定价会更严重，卖空约束阻碍了理性投资者发挥作用；相反，投资者情绪低落时，乐观者为理性投资者，错误定价不严重。本文结论支持以上判断，且不受公司规模和账面市值比的影响。
The Term Structure of Equity Returns: Risk or Mispricing?
Abstract
The term structure of equity returns is downward sloping. High duration stocks, whose cash flows are concentrated in the future, earn lower returns than lowduration stocks. I provide evidence consistent with temporary overpricing of short-sale constrained, high duration stocks. Using institutional ownership asa proxy for short-sale constraints, i find that low returns of high duration stocksare contained within short-sale constrained portfolios: the spread in Fama & French alphas between low and high duration portfolios is 1.52% per month for the most constrained stocks. This difference decreases monotonically with less binding short-sale constraints to an insignificant 0.29% per monthfor the least short-sale constrained stocks. These effects are stronger after periods of high investor sentiment, lending support to sentiment-based overpricing when short-sale constraints keep sophisticated investors out of themarket. My findings are independent of size and book-to-market.
原文：
Weber, Michael, 2016, The Term Structure of Equity Returns: Risk or Mispricing?, 2016 AFA Annual MeetingWorking Paper, University of Chicago.
Session: Behavioral Finance
来源：金融学前沿论文速递
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