The equity term structure is downward sloping at long maturities. I estimate an Intertemporal Capital Asset Pricing Model (ICAPM) to show that the trade-off between market and reinvestment risk explains this pattern. Intuitively, while long-term dividend claims are highly exposed to market risk, they are good hedges for reinvestment risk because dividend prices rise as expected returns decline, and longer-term claims are more sensitive to discount rates. In the estimated ICAPM, reinvestment risk dominates at long maturities, inducing relatively low risk premia on long-term dividend claims. The model is also consistent with the equity term structure cyclicality and the upward-sloping bond term structure.

中文翻译：

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再投资风险和股票期限结构

权益期限结构在长期到期时向下倾斜。我估计一个跨期资本资产定价模型 (ICAPM) 来表明市场和再投资风险之间的权衡解释了这种模式。直觉上，虽然长期股利债权高度暴露于市场风险，但它们是再投资风险的良好对冲，因为股利价格随着预期回报的下降而上涨，而长期债权对折现率更敏感。在估计的 ICAPM 中，再投资风险在长期到期时占主导地位，导致长期股息索赔的风险溢价相对较低。该模型也符合股票期限结构周期性和向上倾斜的债券期限结构。