Reinvestment Risk and the Equity Term Structure
研究发现股权期限结构在长期呈下行趋势，通过ICAPM模型揭示市场风险与再投资风险的权衡是主因，长期股息索取权因对冲再投资风险而风险溢价较低。
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.