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Expected Returns and Dividend Growth Rates Implied by Derivative Markets

Citations

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Cited by:

  1. Golez, Benjamin & Kelly, Peter & Matthies, Ben, 2025. "What does the equity term structure tell us about Trump 2.0′s first 100 days in office?," Economics Letters, Elsevier, vol. 254(C).
  2. R. S. Tunaru, 2018. "Dividend derivatives," Quantitative Finance, Taylor & Francis Journals, vol. 18(1), pages 63-81, January.
  3. Zhi Da & Ravi Jagannathan & Jianfeng Shen, 2014. "Growth Expectations, Dividend Yields, and Future Stock Returns," NBER Working Papers 20651, National Bureau of Economic Research, Inc.
  4. Zhu, Min & Chen, Rui & Du, Ke & Wang, You-Gan, 2018. "Dividend growth and equity premium predictability," International Review of Economics & Finance, Elsevier, vol. 56(C), pages 125-137.
  5. Launhardt, Patrick & Miebs, Felix, 2020. "Aggregate implied cost of capital, option-implied information and equity premium predictability," Finance Research Letters, Elsevier, vol. 35(C).
  6. Lan, Chunhua & Doan, Bao, 2022. "Stock price movements: Evidence from global equity markets," Journal of Empirical Finance, Elsevier, vol. 69(C), pages 123-143.
  7. Jules H. van Binsbergen & Ralph S. J. Koijen, 2016. "On the Timing and Pricing of Dividends: Reply," American Economic Review, American Economic Association, vol. 106(10), pages 3224-3237, October.
  8. Benjamin Golez & Peter Koudijs, 2014. "Four Centuries of Return Predictability," NBER Working Papers 20814, National Bureau of Economic Research, Inc.
  9. Yu, Deshui & Huang, Difang & Chen, Li & Li, Luyang, 2023. "Forecasting dividend growth: The role of adjusted earnings yield," Economic Modelling, Elsevier, vol. 120(C).
  10. Golez, Benjamin & Koudijs, Peter, 2025. "Equity duration and predictability," Journal of Financial Economics, Elsevier, vol. 172(C).
  11. Chin‐Ho Chen, 2021. "Investor sentiment, misreaction, and the skewness‐return relationship," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(9), pages 1427-1455, September.
  12. Florian Schulz, 2016. "On the Timing and Pricing of Dividends: Comment," American Economic Review, American Economic Association, vol. 106(10), pages 3185-3223, October.
  13. Martin Wallmeier, 2024. "Quality issues of implied volatilities of index and stock options in the OptionMetrics IvyDB database," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(5), pages 854-875, May.
  14. Lof, Matthijs & Nyberg, Henri, 2024. "Discount rates and cash flows: A local projection approach," Journal of Banking & Finance, Elsevier, vol. 162(C).
  15. Kolev, Gueorgui I. & Karapandza, Rasa, 2017. "Out-of-sample equity premium predictability and sample split–invariant inference," Journal of Banking & Finance, Elsevier, vol. 84(C), pages 188-201.
  16. Pierlauro Lopez, 2016. "Welfare Implications of the Term Structure of Returns: Should Central Banks Fill Gaps or Remove Volatility?," 2016 Meeting Papers 742, Society for Economic Dynamics.
  17. George Chalamandaris & Leonidas S. Rompolis, 2021. "Recovering the market risk premium from higher‐order moment risks," European Financial Management, European Financial Management Association, vol. 27(1), pages 147-186, January.
  18. Quaye, Enoch & Tunaru, Radu, 2022. "The stock implied volatility and the implied dividend volatility," Journal of Economic Dynamics and Control, Elsevier, vol. 134(C).
  19. Golez, Benjamin & Matthies, Ben, 2025. "Fed information effects: Evidence from the equity term structure," Journal of Financial Economics, Elsevier, vol. 165(C).
  20. Yin, Libo & Nie, Jing, 2021. "Adjusted dividend-price ratios and stock return predictability: Evidence from China," International Review of Financial Analysis, Elsevier, vol. 73(C).
  21. Boudoukh, Jacob & Israel, Ronen & Richardson, Matthew, 2022. "Biases in long-horizon predictive regressions," Journal of Financial Economics, Elsevier, vol. 145(3), pages 937-969.
  22. Li, Ye & Wang, Chen, 2025. "The Information Cliff," SocArXiv bf8cx_v1, Center for Open Science.
  23. Aspris, Angelo & Malloch, Hamish & Svec, Jiri, 2024. "Option implied dividends and the market risk premium," International Review of Economics & Finance, Elsevier, vol. 96(PB).
  24. Pier Lopez, 2014. "The Term Structure of the Welfare Cost of Uncertainty," Working papers 521, Banque de France.
  25. Gkionis, Konstantinos & Kostakis, Alexandros & Skiadopoulos, George & Stilger, Przemyslaw S., 2021. "Positive stock information in out-of-the-money option prices," Journal of Banking & Finance, Elsevier, vol. 128(C).
  26. Yanying Zhang & Yiuman Tse & Gaiyan Zhang, 2022. "Return predictability between industries and the stock market in China," Pacific Economic Review, Wiley Blackwell, vol. 27(2), pages 194-220, May.
  27. Kiss, Tamás & Mazur, Stepan & Nguyen, Hoang, 2022. "Predicting returns and dividend growth — The role of non-Gaussian innovations," Finance Research Letters, Elsevier, vol. 46(PA).
  28. Bilson, John F.O. & Kang, Sang Baum & Luo, Hong, 2015. "The term structure of implied dividend yields and expected returns," Economics Letters, Elsevier, vol. 128(C), pages 9-13.
  29. Andrew Detzel & Jack Strauss, 2018. "Combination Return Forecasts and Portfolio Allocation with the Cross-Section of Book-to-Market Ratios [Illiquidity and stock returns: cross-section and time-series effects]," Review of Finance, European Finance Association, vol. 22(5), pages 1949-1973.
  30. Pierlauro Lopez, 2021. "Welfare Implications of Asset Pricing Facts: Should Central Banks Fill Gaps or Remove Volatility?," Working Papers 21-16R, Federal Reserve Bank of Cleveland, revised 16 May 2023.
  31. Martin Wallmeier, 2025. "Skewness Premium for Short‐Term Exposure to Squared Market Returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 45(9), pages 1091-1099, September.
  32. Golez, Benjamin & Koudijs, Peter, 2018. "Four centuries of return predictability," Journal of Financial Economics, Elsevier, vol. 127(2), pages 248-263.
  33. van Binsbergen, Jules H. & Koijen, Ralph S.J., 2017. "The term structure of returns: Facts and theory," Journal of Financial Economics, Elsevier, vol. 124(1), pages 1-21.
  34. Møller, Stig V. & Sander, Magnus, 2017. "Dividends, earnings, and predictability," Journal of Banking & Finance, Elsevier, vol. 78(C), pages 153-163.
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