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 …

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 …