Implied dividend volatility and expected growth

Niels Gormsen, Ralph S.J. Koijen and Ian Martin

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: We study the behavior of implied dividend volatility, constructed from the prices of options on index-level dividends, during the COVID-19 pandemic. We use these data to construct a lower bound on expected excess returns on dividend claims and find that the bound moves significantly over time. However, most of the variation in dividend futures prices reflects changes in growth expectations rather than expected excess returns, making them valuable assets to uncover growth expectations. We conclude that the short-term economic outlook is uncertain and not expected to recover in the near term.

JEL-codes: E44 E66 G13 G35 I12 (search for similar items in EconPapers)
Pages: 5 pages
Date: 2021-05-31
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Published in AEA Papers and Proceedings, 31, May, 2021, 111, pp. 361 - 365. ISSN: 2574-0768

Downloads: (external link)
http://eprints.lse.ac.uk/127796/ Open access version. (application/pdf)

Related works:
Journal Article: Implied Dividend Volatility and Expected Growth (2021)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:127796

Access Statistics for this paper

More papers in LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library LSE Library Portugal Street London, WC2A 2HD, U.K.. Contact information at EDIRC.
Bibliographic data for series maintained by LSERO Manager ().