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 … and expansion regimes. The unconditional population term structure of dividend-risk premia in the regime-switching model …

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 … and expansion regimes. The unconditional population term structure of dividend-risk premia in the regime-switching model …

-sloping term structures of dividend growth risk, equity return volatility, and equity risk premia. In addition, the term structure …Recent empirical findings document downward-sloping term structures of equity return volatility and risk premia. An … quantitatively reconciles high risk premia and a low risk-free rate with the shape of the term structures, which are at odds in other …

tradeoff between market and reinvestment risk explains this pattern. Intuitively, while long-term dividend claims are highly … exposed to market risk, they are also good hedges for reinvestment risk because dividend prices rise as expected returns … long maturities, inducing relatively low risk premia on long-term dividend claims. The model is also consistent with the …

We study the term structure of variance swaps, equity and variance risk premia. A model-free analysis reveals a … against volatility risk increases after a market drop. This effect is stronger for short horizons and more persistent for long … horizons. During the financial crisis investors demanded large risk premia to hold equities but the risk premia largely …

In a one-period economy, Martin (2017) and Chabi-Yo and Loudis (2020) derive bounds for the equity risk premium that … maturities. The premium depends on risk-neutral leverage effects and the expected future risk-neutral market variance and …