The dividend term structure

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5 Citations (Scopus)


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
Article number002210901900036
Pages (from-to)829-867
JournalJournal of Financial and Quantitative Analysis
Issue number3
Publication statusPublished - May 2020


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


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