Implied Dividend Volatility and Expected Growth

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

AEA Papers and Proceedings, 2021, vol. 111, 361-65

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)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://www.aeaweb.org/doi/10.1257/pandp.20211065 (application/pdf)
https://www.aeaweb.org/doi/10.1257/pandp.20211065.appx (application/pdf)
https://www.aeaweb.org/doi/10.1257/pandp.20211065.ds (application/zip)
Access to full text is restricted to AEA members and institutional subscribers.

Related works:
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:aea:apandp:v:111:y:2021:p:361-65

Ordering information: This journal article can be ordered from
https://www.aeaweb.org/subscribe.html

DOI: 10.1257/pandp.20211065

Access Statistics for this article

AEA Papers and Proceedings is currently edited by William Johnson and Kelly Markel

More articles in AEA Papers and Proceedings from American Economic Association Contact information at EDIRC.
Bibliographic data for series maintained by Michael P. Albert ().