Essays on Empirical Asset Pricing

The three essays collected in this PhD thesis concern the equity term structure, financial anomalies, and long-term portfolio choice. The first essay recovers the term structure of equity risk premia in the United Kingdom from 1870 to 2020 and develops an international asset pricing model to interpret the findings, highlighting how financial integration has altered the shape of risk premia across maturities. The second essay develops and implements a decomposition of anomaly CAPM alphas into components driven by cash-flow duration differences and maturity-specific CAPM alphas, showing that the latter account for the majority of anomaly alphas and revealing that cash-flow duration plays a less prominent role than previously thought. The third essay studies the long-run behavior of equity factor returns using a new dataset of UK equities spanning 1860-2019 and evaluates their implications for portfolio design at multi-decade horizons. Together, these essays shed light on how risk premia evolve across maturities, how anomalies can be understood through the lens of cash-flow dynamics, and how investors should design portfolios when returns exhibit long-horizon predictability.