The dividend term structure

Research output: Contribution to journalArticleScientificpeer-review

1 Citation (Scopus)

Abstract

We estimate a model for the term structure of discounted risk-adjusted dividend growth using prices of dividend futures for the Eurostoxx 50. A two-factor model capturing short-term mean reversion within a year and a medium-term component reverting at business-cycle horizon gives an excellent t of these prices. Hence, investors update the valuation of dividends beyond the business cycle only to a limited degree. The two-factor model, estimated on dividend futures data only, explains a large part of observed daily stock market returns. We also show that the two latent factors are related to various economic andfinancial variables.
Original languageEnglish
Pages (from-to)829-867
JournalJournal of Financial and Quantitative Analysis
Volume55
Issue number3
DOIs
Publication statusPublished - May 2020

Keywords

  • dividend futures
  • dividend swaps
  • dividend derivatives
  • term structure
  • state space model

Fingerprint Dive into the research topics of 'The dividend term structure'. Together they form a unique fingerprint.

  • Cite this