The Term Structures of Equity and Interest Rates

Martin Lettau, Jessica A. Wachter

NBER Working Paper No. 14698
Issued in January 2009

---- Acknowledgements -----

We thank John Campbell, Michael Gallmeyer, Nikolai Roussanov, Kenneth Singleton, seminar participants at BGI, Emory University, Fordham University, Society of Quantitative Analysis, Stanford University, University of California at Berkeley, University of Maryland, University of Pennsylvania, University of Southern California, Washington University, Yale University, the 2007 UBC Summer Finance Conference, the 2007 UCLA Conference on the Interaction between the Bond Markets and the Macro-economy, the 2007 NBER Fall Asset Pricing Meeting and an anonymous referee for helpful comments. Aaditya Muthukumaran provided valuable research assistance. Lettau thanks the Scott Schoen Fellowship at Yale SOM and Wachter thanks the Aronson+Johnson+Ortiz fellowship through the Rodney L. White Center for support during the completion of this project. The views expressed herein are those of the author(s) and do not necessarily reflect the views of the National Bureau of Economic Research.

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