Author

T. Jankauskas

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Case report Open access Sep 2026

The Implied Equity Term Structure

We propose a new methodology to estimate the equity term structure. Instead of using realized returns of dividend assets, we generalize the implied cost of capital approach and imply the term structure of ex-ante expected returns from the cross-section of observed stock prices and projected firm-level cash flows. Using...

Lieven Baele, Joost Driessen, T. Jankauskas · Staff Reports · 0 citations

Case report Aug 2026

Does the Equity Term Structure Respond to Monetary Policy Shocks?

A long-standing body of research, inspired by Bernanke and Kuttner (2005), has documented the effects of Fed interest rate surprises on stock markets. While stock markets provide valuable information about the investor risk premium and dividend growth expectations, researchers have only recently developed more comprehe...

Henry Dyer, T. Jankauskas · Liberty Street Economics (Fe... · 0 citations