We use traded equity dividend strips from U.S., Europe, and Japan from 2004-2017 to study the slope of the term structure of equity dividend risk premia. In the data, a robust finding is that the term structure of dividend risk premia (growth rates) is positively (negatively) sloped in...

We provide strong evidence of persistent cyclical variation in the sensitivity of stock returns to macroeconomic news announcement (MNA) surprises. When the economy is significantly below trend (output gap is large and negative) and interest rates are not expected to go up, the stock return...

We show that the term structure of dividend risk premia and discount rates implied by equity strip yields are downward sloping in recessions and upward sloping in expansions, a finding which is statistically significant and robust across the U.S., Europe, and Japan. Our results are based on the...

We document a countercyclical sensitivity of the stock market to major macroeconomic news announcements. Stock prices react more to (either good or bad) announcement surprises when the economy is below its potential trend with the expectation of easing policy. Based on comprehensive regression...