between bond and dividend yields -- a relation better known as the gilt-equity yield ratio-GEYR -- by examining the …The relation between bond and equity returns serves as a proxy for estimating the premia investors' demand on their … characteristics of the cointegration relation between the bond and equity yields. In this context, this paper's contribution is that …

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 …