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 …

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 …

interest rates. Prices for dividend futures, bonds, and the dividend paying stock are given in closed form. We present an … specification has a good fit with Euribor interest rate swaps and swaptions, Euro Stoxx 50 index dividend futures and dividend …

implied by analysts' dividend forecasts under the explicit notion of taxes and non-flat term structures of interest rates and …

The ratio of long- to short-term dividend prices, “price ratio” (pr), predicts annual market return with an out …-of-sample R2 of 19%, subsuming the predictive power of price-dividend ratio (pd). After controlling for pr, pd predicts dividend … our findings is the (lack of) persistence of expected dividend growth. We find the expected return is countercyclical and …