We recover prices of dividend strips on the aggregate stock market using data from derivatives markets. The price of a … k-year dividend strip is the present value of the dividend paid in k years. The value of the stock market is the sum of … all dividend strip prices across maturities. We study the properties of strips and find that expected returns, Sharpe …

), announcements of new investments, share repurchases, and dividend announcements. We find that 4% of public firms in our sample …

We use traded equity dividend strips from U.S., Europe, and Japan from 2004-2017 to study the slope of the term … structure of equity dividend risk premia. In the data, a robust finding is that the term structure of dividend risk premia … and expansion regimes. The unconditional population term structure of dividend-risk premia in the regime-switching model …

We empirically decompose the S&P 500's dividend yield into (1) a rational forecast of long-run real dividend growth, (2 …) the subjectively expected risk premium, and (3) residual mispricing attributed to the market's forecast of dividend growth …

evaluates the effect of foreign earnings on dividend payments by American corporations. The results suggest that the effect may …

dividend growth rates of the aggregate stock market. This approach aggregates information contained in the history of price-dividend … ratios and dividend growth rates to predict future returns and dividend growth rates. We find that returns and dividend … growth rates are predictable with R-squared values ranging from 8.2% to 8.9% for returns and 13.9% to 31.6% for dividend …

The predictability of the market return and dividend growth is addressed in an equilibrium model with two regimes. A … state variable that drives the conditional means of the aggregate consumption and dividend growth rates follows different … by the price-dividend ratio with R2 11.7% if the probability of being in the first regime exceeds 50%; and dividend …

We develop a dynamic general equilibrium model to study the impact of the 2003 dividend and capital gains tax cuts. In … adjustment costs, equity issuance costs, and collateral constraints. We show that when the dividend and capital gains tax cuts … are unexpected and permanent, dividend payments, equity issuance, and aggregate investment rise immediately. By contrast …