Expected Returns and Dividend Growth Rates Implied by Derivative Markets

• 成果类型: Article
• 署名作者: Golez, Benjamin
• 署名单位: University of Notre Dame
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hht131
• 发表日期: 2014
• 页码: 790
• 关键词: STOCK RETURNS; PREDICTIVE REGRESSIONS; predictability; consumption; INFORMATION; sample; yields; tests

摘要

The dividend-price ratio is a noisy proxy for expected returns when expected dividend growth is time-varying. This paper uses a new and forward-looking measure of dividend growth extracted from S&P 500 futures and options to correct the dividend-price ratio for changes in expected dividend growth. Over January 1994 through June 2011, dividend growth implied by derivative markets reliably forecasts future dividend growth, and the corrected dividend-price ratio predicts S&P 500 returns substantially better than the standard dividend-price ratio, in-sample and out-of-sample. Time-varying expected dividend growth is important to explain price movements, especially because it is highly correlated with expected returns.