Option Implied Dividends

Research output: Working paperDiscussion paperOther research output


This is the first paper to calculate and analyze option-implied dividends for individual US companies, while accounting for the early exercise premium. These firm-level implied dividends show substantial variation relative to actual dividends over time as well as in the cross-section. Implied dividends predict actual dividends, particularly upward dividend changes. Stock prices correlate strongly with changes in implied dividends, so much so that price changes are partly reversed subsequently. An announcement to cut dividends causes a stock's price to drop by 2.6% on average, but if it is correctly predicted by implied dividends the response is negligible.
Original languageEnglish
Number of pages58
Publication statusPublished - 2016


  • dividends
  • options
  • dividend forecasting
  • stock price response to dividend announcements


Dive into the research topics of 'Option Implied Dividends'. Together they form a unique fingerprint.

Cite this