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- W3159721575 abstract "ABSTRACT The equity term structure is downward sloping at long maturities. I estimate an Intertemporal Capital Asset Pricing Model (ICAPM) to show that the trade‐off between market and reinvestment risk explains this pattern. Intuitively, while long‐term dividend claims are highly exposed to market risk, they are 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 long maturities, inducing relatively low risk premia on long‐term dividend claims. The model is also consistent with the equity term structure cyclicality and the upward‐sloping bond term structure." @default.
- W3159721575 created "2021-05-10" @default.
- W3159721575 creator A5015118633 @default.
- W3159721575 date "2021-05-14" @default.
- W3159721575 modified "2023-09-28" @default.
- W3159721575 title "Reinvestment Risk and the Equity Term Structure" @default.
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- W3159721575 doi "https://doi.org/10.1111/jofi.13035" @default.
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