A Model-Free Term Structure of U.S. Dividend Premiums-Reference-Cited by-同舟云学术

A Model-Free Term Structure of U.S. Dividend Premiums

Published:2022-06-22 Issue:3 Volume:36 Page:1289-1318
ISSN:0893-9454
Container-title:The Review of Financial Studies
language:en
Short-container-title:

Author:

Ulrich Maxim¹,Florig Stephan²,Seehuber Ralph¹

Affiliation:

1. Karlsruhe Institute of Technology , Germany

2. Barclays Bank International , Germany

Abstract

Abstract 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.

Publisher

Oxford University Press (OUP)

Subject

Economics and Econometrics,Finance,Accounting

Link

https://academic.oup.com/rfs/advance-article-pdf/doi/10.1093/rfs/hhac035/45180737/hhac035.pdf

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