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Expected returns and dividend growth rates implied by derivative markets

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. .Printed Journal, baca ditempat

Ketersediaan

Call NumberLocationAvailable
TRFS2703PSB lt.dasar - Pascasarjana1
Penerbit The Society of Financial Studies.,
Edisi -
Subjek Asset pricing
Financial forecasting
Trading volume
Bond interest rates
Contingent pricing
Futures pricing
ISBN/ISSN 8939454
Klasifikasi -
Deskripsi Fisik -
Info Detail Spesifik -
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