The Term Structure of Equity Premia and the Macroeconomy : Some Results
Laine, Olli-Matti (14.05.2022)
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Volyymi
216Numero
July
2022
Julkaisun pysyvä osoite on
https://urn.fi/URN:NBN:fi:bof-202109131505Tiivistelmä
This letter analyses the relationship between the term structure of stock market risk premia and the key macroeconomic variables: inflation and GDP growth. The term structure of risk premia is obtained using a new method that utilises dividend future contracts and analysts’ dividend expectations. The results show that investors require high risk premia when GDP growth is expected to be low. The relationship between expected inflation and risk premia is less clear.