.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 …

We use traded equity dividend strips from U.S., Europe, and Japan from 2004-2017 to study the slope of the term … sample, as is the case in the data sample from Europe and Japan. In sum, our analysis shows that the empirical evidence in … structure of equity dividend risk premia. In the data, a robust finding is that the term structure of dividend risk premia …

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