their dynamics. Using the model, we price dividend strips of the aggregate market index, as well as any other well …-diversified equity portfolio. We do not use any dividend strips data in the estimation of the model; however, model-implied equity yields … generated by the model match closely the equity yields from the traded dividend forwards reported in the literature. Our model …

Many leading asset pricing models predict that the term structures of expected returns and volatilities on dividend … these models replace their exogenously specified dividend dynamics with processes that are derived endogenously from capital …) when leverage is low (high), which shifts risk from long-horizon to short-horizon dividend strips. This framework also …

values of returns, dividend growth, the dividend-price ratio, and all Campbell-Shiller-style regression results involving …

to obtain a term structure of expected dividend growth rates and a term structure of risk premia, which allows us to … decompose the equity risk premium by maturity. We find that both expected dividend growth rates and risk premia exhibit … substantial variation over time, particularly for short maturities. In addition to predicting dividend growth, equity yields help …

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 …