---
title: Bottom-Up Approach to Equity Yield Term Structure
url: https://www.ml-quant.com/papers/ssrn/4598202/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 4598202
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4598202
featured: 2023-10-12
citations: unknown
topic: Macro-Finance & Rates
---


# Bottom-Up Approach to Equity Yield Term Structure

The article offers a new approach to understanding the term structure of market equity yields, showing a positive aggregation effect when using aggregated equity yields of individual firms to estimate the market equity yield curve.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4598202
- Identifier: SSRN 4598202
- Released: 2021-03-02
- First featured: Quant Letter No. 20 (2023-10-12): https://www.ml-quant.com/issues/2023-10-12/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Macro-Finance & Rates

## Related

- [Statistically consistent term structures have affine geometry](https://www.ml-quant.com/papers/arxiv/2308.02246/): The research examines finite dimensional models for energy futures' term structure, revealing that the compatibility between potential yield curves and diffusion coefficient enforces a specific geometry of possible yield curves.
- [Does Heterogeneity in Risk Aversion Imply a Downward-Sloping Equity Term Structure?](https://www.ml-quant.com/papers/ssrn/4608133/): The study explores a two-agent model's ability to explain equity term structure, suggesting more research is needed to align preference-heterogeneous agent models in asset pricing with empirical evidence.
- [Yield Curve Attribution for Global Bonds](https://www.ml-quant.com/papers/repec/wsi-wschap-9789811272578-0012/): The chapter outlines a yield curve-based method for attributing performance in global bond portfolios, emphasizing the need for accurate data and pricing.
- [Estimating Prices and Yields for Equity Term Structures](https://www.ml-quant.com/papers/ssrn/4657486/): The study estimates equity yields using a detailed model of equity prices and dividends, expanding equity term-structure data over time and across different portfolios, offering new empirical data for asset pricing models.
- [Implied Covariance Term Structure](https://www.ml-quant.com/papers/ssrn/4852018/): The note explains Rolloos' approximation for the covariance between an asset and its realised volatility, a tool that can help monitor the term structure of implied asset-realised volatility covariance and guide trading decisions.
- [Yield Curve Forecasting Poland](https://www.ml-quant.com/papers/repec/nbp-nbpbik-v-56-y-2024-i-4-p-459-478/): The article discusses the use of PCA and LSTM machine learning methods for predicting Poland's yield curve, with LSTM providing the most accurate results.