Conference Agenda
Please note that all times are shown in the time zone of the conference. The current conference time is: 15th Sept 2026, 08:56:32am CEST
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Daily Overview |
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AP 19: Risk Premiums Everywhere Location: LR M2.3 (Floor 2) Session Chair: Geert Bekaert, Columbia University | |
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ID: 1780
From Bonds to Dividend Strips: Decomposing the Equity Premia Term Structure 1: Villanova University; 2: The Ohio State University, United States of America Combining yield dynamics with an SDF pricing bonds and equities, we estimate term structures of risk premia for real bonds, nominal bonds, and equities from 1972 to 2022. We use these term structures to decompose equity risk premia into term, inflation, and cash flow components, with cash flow risk premia denoting expected returns of dividend strips over nominal bond strips. Term and inflation risk premia rise with maturity, while cash flow risk premia are hump-shaped. Importantly, long-maturity equity premia variation is driven by term and inflation risk premia, underscoring the role of bond risk premia in the excess volatility puzzle.
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