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

Olli-Matti Laine

Research output: Contribution to journalLetterScientificpeer-review


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 languageEnglish
Article number110606
JournalEconomics Letters
Publication statusPublished - Jul 2022
Publication typeA1 Journal article-refereed


  • Equity premium
  • Macroeconomy
  • Stock market

Publication forum classification

  • Publication forum level 1

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics


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