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 … decline, and longer-term claims are more sensitive to discount rates. In the estimated ICAPM, reinvestment risk dominates at …

the correlation between bond and equity returns. An asymmetric M-GARCH model confirms a shift from positive to negative … correlations in recent decades. However, the variance around bond-stock covariance has increased, consistent with greater not lower … no longer than a week account for most of the covariance between the yardstick risk-free and risky assets, increasingly …