A Model-Free Term Structure of US Dividend Premiums

• 成果类型: Article
• 署名作者: Ulrich, Maxim; Florig, Stephan; Seehuber, Ralph
• 署名单位: Helmholtz Association; Karlsruhe Institute of Technology
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhac035
• 发表日期: 2023
• 页码: 1289
• 关键词: ANALYSTS EARNINGS FORECASTS; long-run; Return predictability; MARKET-SEGMENTATION; Expected returns; BIASED EARNINGS; cross-section; asset prices; IMPLIED COST; INFORMATION

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.