Giglio, Stefano; Kelly, Bryan T.; Kozak, Serhiy - National Bureau of Economic Research - 2023
their dynamics. Using the model, we price dividend strips of the aggregate market index, as well as any other well …-diversified equity portfolio. We do not use any dividend strips data in the estimation of the model; however, model-implied equity yields … generated by the model match closely the equity yields from the traded dividend forwards reported in the literature. Our model …
