The equity term structure is downward sloping at long maturities. I show, through an ICAPM estimation, that the … 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 …

I study a novel data set of short-term dividend futures contracts for individual stocks. I combine this data with … dividend forecasts from equity research analysts to construct a model-free measure of short-term equity risk premia. I provide … the first description of the cross-section of risk premia on short-maturity dividend claims. My data on risk premia for …

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

estimation of intertemporal asset pricing models …

payoffs of short-duration dividend claims (bonds) are more (less) procyclical than the payoffs of long-duration claims (bonds …

payoffs of short-duration dividend claims (bonds) are more (less) procyclical than the payoffs of long-duration claims (bonds …

to determine how non-linear estimation models fit in case of ZCBs that are traded on NSE and to verify whether they offer … better curve estimation during the time period of March, 2009 -June, 2012 for duration and convexity exposures that …

, heterogeneous assets rather than Arrow securities. Empirically, I find that using an estimation strategy that explicitly accounts …