premium. We reach this conclusion based on a new model-free method that uses dividend futures prices to obtain the …

tradeoff between market and reinvestment risk explains this pattern. Intuitively, while long-term dividend claims are highly … exposed to market risk, they are also good hedges for reinvestment risk because dividend prices rise as expected returns … long maturities, inducing relatively low risk premia on long-term dividend claims. The model is also consistent with the …

dividend stream is modeled as a random walk with innovations drawn from the family of stable distributions. We derive an exact …

the impacts of dividend fluctuations and the risk aversion of the investor to the market equilibrium. It is shown that … dividend processes generate Jensen's alpha that can be interpreted as the small cap premium …

I study a novel data set of short-term dividend futures contracts for individual stocks. I combine this data with … dividend forecasts from equity research analysts to construct a model-free measure of short-term equity risk premia. I provide … the first description of the cross-section of risk premia on short-maturity dividend claims. My data on risk premia for …

premium, price-dividend ratio, and aggregate dividend and consumption growth. The model-implied risk free rate and price-dividend …

decisions well, both Treasury Bill rates and dividend yield performed well in predicting consumption behaviour. For the … entire market. Betas for Treasury bill rates and dividend yields however suggest that the assets form strong basis for both …

In this paper, we derive an intertemporal dividend-surprise-augmented asset-pricing model and show that the expected … risk premium compensates for stock returns’ exposure to (i) the market-wide dividend-surprise hedge portfolio based on … dividend yield surprise and volatilities, in addition to (ii) the excess market return without dividend yield (as in the …