The dividend risk premium (DRP) is examined at the portfolio and firm levels. At the portfolio level, the DRP is procyclical and trend-stationary with a half-life of 3.72 months. The Global Financial Crisis represents a structural break in dividend strip pricing and in DRP half-lives. Following the GFC, strip return alpha becomes significantly positive and DRP half-lives become significantly longer. At the firm level, stocks robustly display mean-reversion in DRPs. Investor sentiment and interest rates significantly explain DRP levels and magnitudes. The relationship between DRPs and real rates suggests that the DRP-implied neutral rate for the economy (r-star) is 1.471%.