I study the term structure of one-period expected returns on dividend claims with different maturity. I find that the slope of the term structure is countercyclical. The countercyclical variation is consistent with theories of long-run risk and habit, but these theories cannot explain the average downward slope. At the same time, the cyclical variation is inconsistent with recent models constructed to match the average downward slope. More generally, the average and cyclicality of the slope are hard to reconcile with models with a single risk factor. I introduce a model with two priced factors to solve the puzzle.

中文翻译：

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股票期限结构的时间变化

我研究了不同期限的股利要求的单期预期回报的期限结构。我发现期限结构的斜率是反周期的。逆周期变化与长期风险和习惯理论是一致的，但这些理论不能解释平均下降斜率。同时，周期性变化与最近为匹配平均下降斜率而构建的模型不一致。更一般地说，斜率的平均值和周期性很难与具有单一风险因素的模型相协调。我介绍了一个具有两个定价因素的模型来解决这个难题。