A Model-Free Term Structure of US Dividend Premiums

被引：3

作者：

Ulrich, Maxim ^{[1
]}

Florig, Stephan ^{[2
]}

Seehuber, Ralph ^{[1
]}

机构：

[1] Karlsruhe Inst Technol, Karlsruhe, Germany

[2] Barclays Bank Int, Frankfurt, Germany

来源：

REVIEW OF FINANCIAL STUDIES | 2023年 / 36卷 / 03期

关键词：

G12; ANALYSTS EARNINGS FORECASTS; LONG-RUN; RETURN PREDICTABILITY; MARKET-SEGMENTATION; EXPECTED RETURNS; BIASED EARNINGS; CROSS-SECTION; ASSET PRICES; IMPLIED COST; INFORMATION;

D O I：

10.1093/rfs/hhac035

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We estimate a model-free term structure of the ex ante dividend risk premium by combining two data sets with different information about future dividends. We aggregate survey forecasts about future dividends for single companies over multiple horizons to construct a term structure of expected S&P 500 dividend growth rates. We use European call and put option prices on the S&P 500 to estimate the term structures of options-implied dividend growth rates and risk-free rates. Applying the method to 2004-2021 data offers a new, ex ante perspective on the conditional time variation of the term structure of the dividend risk premium.

引用

页码：1289 / 1318

页数：30

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