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

dividend strips are all downward-sloping (van Binsbergen et al. (2012)), but these observations cannot be explained by most … structure of long-maturity dividend strips to become less risky than short-maturity dividend strips, leading to a downward …

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 …

their dynamics. Using the model, we price dividend strips of the aggregate market index, as well as any other well …-diversified equity portfolio. We do not use any dividend strips data in the estimation of the model; however, model-implied equity yields … 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 …

interest rates. Prices for dividend futures, bonds, and the dividend paying stock are given in closed form. We present an … specification has a good fit with Euribor interest rate swaps and swaptions, Euro Stoxx 50 index dividend futures and dividend …

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 … long maturities, inducing relatively low risk premia on long-term dividend claims. The model is also consistent with the …

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

We construct a model-free term structure of dividend risk premiums from option prices and aggregate analyst forecasts … decreases during expansions. The on average negative dividend term premium steepens in contractions and flattens in expansions …, driven by strong variations in short-horizon dividend premiums. Buying the next year of S&P 500 dividends whenever the one …

break down. I also explore the implications for measuring the term structure of S&P 500 dividend risk premia …