The Predictive Power of the Dividend Risk Premium

被引：1

作者：

Avino, Davide E. ^{[1
]}

Stancu, Andrei ^{[2
]}

Simen, Chardin Wese ^{[1
]}

机构：

[1] Univ Liverpool, Management Sch, Liverpool, Merseyside, England

[2] Univ East Anglia, Norwich Business Sch, Norwich, Norfolk, England

来源：

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS | 2021年 / 56卷 / 08期

关键词：

STOCK RETURNS; YIELDS; REGRESSIONS; BEHAVIOR; OPTIONS; SAMPLE; TESTS;

D O I：

10.1017/S0022109020000733

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We show that the dividend growth rate implied by the options market is informative about i) the expected dividend growth rate and ii) the expected dividend risk premium. We model the expected dividend risk premium and explore its implications for the predictability of dividend growth and stock market returns. Correcting for the expected dividend risk premium strengthens the evidence for the predictability of dividend growth and stock market returns both in and out of sample. Economically, a market-timing investor who accounts for the time-varying expected dividend risk premium realizes an additional utility gain of 2.02% per year.

引用

页码：2843 / 2869

页数：27

共 37 条

[1] Multiple-Predictor Regressions: Hypothesis Testing [J].

Amihud, Yakov ;

Hurvich, Clifford M. ;

Wang, Yi .

REVIEW OF FINANCIAL STUDIES, 2009, 22 (01) :413-434

[2] Stock return predictability: Is it there? [J].

Ang, Andrew ;

Bekaert, Geert .

REVIEW OF FINANCIAL STUDIES, 2007, 20 (03) :651-707

[3] The term structure of implied dividend yields and expected returns [J].

Bilson, John F. O. ;

Kang, Sang Baum ;

Luo, Hong .

ECONOMICS LETTERS, 2015, 128 :9-13

[4] PRICING OF OPTIONS AND CORPORATE LIABILITIES [J].

BLACK, F ;

SCHOLES, M .

JOURNAL OF POLITICAL ECONOMY, 1973, 81 (03) :637-654

[5]

Boguth O., 2013, Leverage and the Limits to Arbitrage Pricing: Implications for Dividend Strips and the Term Structure of Equity Risk Premia

[6] Misspecified Recovery [J].

Borovicka, Jaroslav ;

Hansen, Lars Peter ;

Scheinkman, Jose A. .

JOURNAL OF FINANCE, 2016, 71 (06) :2493-2544

[7] Predicting excess stock returns out of sample: Can anything beat the historical average? [J].

Campbell, John Y. ;

Thompson, Samuel B. .

REVIEW OF FINANCIAL STUDIES, 2008, 21 (04) :1509-1531

[8] Viewpoint: Estimating the equity premium [J].

Campbell, John Y. .

CANADIAN JOURNAL OF ECONOMICS-REVUE CANADIENNE D ECONOMIQUE, 2008, 41 (01) :1-21

[9] The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors [J].

Campbell, John Y. ;

Shiller, Robert J. .

REVIEW OF FINANCIAL STUDIES, 1988, 1 (03) :195-228

[10]

Campbell JohnY., 2002, STRATEGIC ASSET ALLO

← 1 2 3 4 →