Image of Expected Returns and Dividend Growth Rates Implied by Derivative Markets

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.

Ketersediaan
Call NumberLocationAvailable
TRFS2703PSB lt.dasar - Pascasarjana1
Informasi Detail
Judul Seri
The Review of Financial Studies
No. Panggil
TRFS2703
Penerbit
Oxford : Oxford University Press.,
Deskripsi Fisik
956 p.
Bahasa
English
ISBN/ISSN
1465-7368
Klasifikasi
NONE
Tipe Isi
text
Tipe Media
-
Tipe Pembawa
-
Edisi
Vol. 27 No. 3, Mar 2014
Subjek
Asset pricing
Financial forecasting
Trading volume
Bond interest rates
Contingent pricing
Futures pricing
Info Detail Spesifik
The Review of Financial Studies
Pernyataan Tanggungjawab
Versi lain/terkait

Tidak tersedia versi lain

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