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Dividend Risk Premia

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  • Cejnek, Georg
  • Randl, Otto

Abstract

This article studies time variation in the expected excess returns of traded claims on dividends, bonds, and stock indices for international markets. We introduce a novel dividend risk factor that complements the bond risk factor of Cochrane and Piazzesi (2005). By aggregating over 4 regions (United States, United Kingdom, Eurozone, and Japan), we create global dividend and bond factors. Our global 2-factor model captures the excess returns of most Morgan Stanley Capital International (MSCI) country indices, as well as a variety of other test assets. Our findings highlight the value of the information contained in dividend and bond forward curves and suggest substantial comovement in international risk premia.

Suggested Citation

  • Cejnek, Georg & Randl, Otto, 2020. "Dividend Risk Premia," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 55(4), pages 1199-1242, June.
    • Handle: RePEc:cup:jfinqa:v:55:y:2020:i:4:p:1199-1242_5
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    Cited by:

    1. 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).
    2. Niels Joachim Gormsen & Eben Lazarus, 2023. "Duration‐Driven Returns," Journal of Finance, American Finance Association, vol. 78(3), pages 1393-1447, June.
    3. Gonçalves, Andrei S., 2021. "The short duration premium," Journal of Financial Economics, Elsevier, vol. 141(3), pages 919-945.

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