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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.
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| TRFS2703 | PSB lt.dasar - Pascasarjana | 1 |
| Penerbit | Oxford: Oxford University Press 2014 |
|---|---|
| Edisi | Vol. 27 No. 3, Mar 2014 |
| Subjek | Asset pricing Financial forecasting Trading volume Bond interest rates Contingent pricing Futures pricing |
| ISBN/ISSN | 1465-7368 |
| Klasifikasi | NONE |
| Deskripsi Fisik | 956 p. |
| Info Detail Spesifik | The Review of Financial Studies |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas |