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 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...

Since the Global Financial Crisis, rates on interest rate swaps have fallen below maturity matched U.S. Treasury rates across different maturities. Swap rates represent future uncollateralized borrowing between banks. Treasuries should be expensive and produce yields that are lower than those of...