The term structure of equity premia and the macroeconomy: some results

Olli-Matti Laine

Economics Letters, 2022, vol. 216, issue C

Abstract: 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.

Keywords: Stock market; Equity premium; Macroeconomy (search for similar items in EconPapers)
JEL-codes: E30 G12 (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:216:y:2022:i:c:s0165176522001835

DOI: 10.1016/j.econlet.2022.110606

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