Many leading asset pricing models are specified so that the term structure of dividend volatility is either flat or … upward sloping. Related, these models predict that the term structures of expected returns and volatilities on dividend … suggests otherwise. This discrepancy can be reconciled if these models replace their proposed dividend dynamics with processes …

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 …

equilibrium model with rare disasters followed by recoveries helps reconcile theory with empirical observations. Indeed …-sloping term structures of dividend growth risk, equity return volatility, and equity risk premia. In addition, the term structure …

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 …

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

This study investigates the dynamic response of credit spread (CS) to S&P 500 dividend yield (DY) shock. Based on the … following shock to the S&P 500 dividend yield. The results also show that there is a significant causal linkage between CS and … DY. The variance decomposition results indicate that S&P 500 dividend yield forecasts about 2.72%, 5.00% and 7.12% of …

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

.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 …