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.
Original language | English |
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Article number | 110606 |
Journal | Economics Letters |
Volume | 216 |
DOIs | |
Publication status | Published - Jul 2022 |
Publication type | A1 Journal article-refereed |
Keywords
- Equity premium
- Macroeconomy
- Stock market
Publication forum classification
- Publication forum level 1
ASJC Scopus subject areas
- Finance
- Economics and Econometrics