Avino, Davide E., Stancu, Andrei and Wese Simen, Chardin (2020) The Predictive Power of the Dividend Risk Premium. Journal of Financial and Quantitative Analysis. ISSN 0022-1090

Preview

PDF (Accepted_Manuscript) - Accepted Version Download (703kB) | Preview

Abstract

We show that the dividend growth rate implied by the options market is informative about (i) the expected dividend growth rate and (ii) the expected dividend risk premium. We model the expected dividend risk premium and explore its implications for the predictability of dividend growth and stock market returns. Correcting for the expected dividend risk premium strengthens the evidence of dividend growth and stock market return predictability both in- and out-of-sample. Economically, a market timing investor who accounts for the time varying expected dividend risk premium realizes an additional utility gain of 2.02 % per year.

Item Type:	Article
Faculty \ School:	Faculty of Social Sciences > Norwich Business School
Related URLs:	http://www.scopus.com/inward/record.url?... https://papers.ssrn.com/sol3/papers.cfm?...
Depositing User:	LivePure Connector
Date Deposited:	25 Jun 2019 13:30
Last Modified:	28 Jul 2021 00:30
URI:	https://ueaeprints.uea.ac.uk/id/eprint/71540
DOI:	10.1017/S0022109020000733

Actions (login required)

View Item