We present an arbitrage-free affine term structure model that jointly prices U.S. Treasury bonds, S&P 500 dividend … accurate decompositions of discount rates into risk free rates, inter est rate and dividend risk premiums. Our model is able to …

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 …

We show that the term structure of dividend risk premia and discount rates implied by equity strip yields are downward ….S., Europe, and Japan. Our results are based on the estimation of a regimeswitching dividend growth model, which allows us to … conflict with the new data on dividend strips. In fact, we show that the standard asset pricing models extended with regime …

curve from market dividend futures, we aggregate equity yields of individual firms over the market. This approach allows …

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 …

In this paper, a simple no-arbitrage methodology to estimate option-implied interest rates and dividend yields … forward-looking model-free estimates of the risk-free interest rate and dividend yield, based exclusively on market prices of …