A Model-Free Term Structure of U.S. Dividend Premiums

Maxim Ulrich, Stephan Florig, Ralph Seehuber and Ralph Koijen

The Review of Financial Studies, 2023, vol. 36, issue 3, 1289-1318

Abstract: We estimate a model-free term structure of the ex ante dividend risk premium by combining two data sets with different information about future dividends. We aggregate survey forecasts about future dividends for single companies over multiple horizons to construct a term structure of expected S&P 500 dividend growth rates. We use European call and put option prices on the S&P 500 to estimate the term structures of options-implied dividend growth rates and risk-free rates. Applying the method to 2004–2021 data offers a new, ex ante perspective on the conditional time variation of the term structure of the dividend risk premium.

JEL-codes: G12 (search for similar items in EconPapers)
Date: 2023
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