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

Author

Listed:
  • Maxim Ulrich
  • Stephan Florig
  • Ralph Seehuber
  • Ralph Koijen

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.

Suggested Citation

  • Maxim Ulrich & Stephan Florig & Ralph Seehuber & Ralph Koijen, 2023. "A Model-Free Term Structure of U.S. Dividend Premiums," The Review of Financial Studies, Society for Financial Studies, vol. 36(3), pages 1289-1318.
    • Handle: RePEc:oup:rfinst:v:36:y:2023:i:3:p:1289-1318.
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    File URL: http://hdl.handle.net/10.1093/rfs/hhac035
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    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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