Expected Returns and Dividend Growth Rates Implied by Derivative Markets

Golez, Benjamin

doi:10.1093/rfs/hht131

Cited by 93 publications

(82 citation statements)

References 40 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Our estimated decompositions are consistent with relatively persistent and volatile expected returns and are close to the analogous results from the seminal study of Campbell (1991). However, several more recent studies attribute significantly more price variation to the variance of expected dividend growth (see, e.g., Bernanke and Kuttner (2005), Chen and Zhao (2009), and Golez (2014)).…”

Section: Introductionsupporting

confidence: 87%

The Dog Has Barked for a Long Time: Dividend Growth Is Predictable

Detzel

Strauss

2016

SSRN Journal

View full text Add to dashboard Cite

Section: Introductionsupporting

confidence: 87%

The Dog Has Barked for a Long Time: Dividend Growth Is Predictable

Detzel

Strauss

2016

SSRN Journal

View full text Add to dashboard Cite

“…Litzenberger & Ramaswamy (1979), Blume (1980), Hodrick (1992), Naranjo, Nimalendran, and Ryngaert (1998), and Lewellen (2004) report a strong positive relationship between expected returns and dividend yields. Furthermore, Kothari & Shanken (1997), Campbell & Yogo (2006), Chiquoine & Hjalmarsson (2009), Ferreira & Santa-Clara (2011, and Golez (2014) also find some evidence of the relationship. However, Miller & Scholes (1982) report no significant relationship between expected returns and dividend yields, as do Goetzmann & Jorion (1993), Wolf (2000), Lanne (2002), and Goyal & Welch (2003.…”

Section: Introductionmentioning

confidence: 86%

Dividend Yields, Stock Returns and Reputation

Kang

Kim

2019

JOFRP

View full text Add to dashboard Cite

Accepted:Problem/ Relevance -The relationship between dividend yields and stock returns is an unresolved issue in finance. Previous papers show mixed results on the relationship. To clarify the relationship, we consider dividend reputation. We investigate whether dividend reputation plays a role in explaining the relationship between dividend yields and stock returns.Research Objective/ Questions -We hypothesize that firms with dividend reputation tend to have less risk compared to firms without dividend reputation, and the expected return of firms with dividend reputation will be lower given the dividend yield, which is called the "reputation effect." A mix of firms with and without dividend reputation in a sample could distort the relationship between stock returns and dividend yields. We group stocks according to reputation and analyze the relationship between dividend yields and stock returns.Methodology -We construct our sample from all firms listed on the NYSE, AMEX, and NASDAQ stock exchanges. In our analysis, reputation effects are included to analyze the relationship between dividend yields and stock returns. We divide our sample firms into three groups according to the track record of dividend payments to control for reputation effects: (1) reputation-established firms, (2) reputation-building initiation, and (3) no reputation firms. To test the hypotheses, we run the panel regression with reputation variables and the control variables.Major Findings -We find that the reputation effect is strongest for reputation-established firms and a weaker reputation effect for reputation-building younger firms. After controlling the reputation effect and other relevant variables, we find that there does exist a significantly positive relationship between dividend yields and stock returns.Implications -The empirical results show that the reputation effect is higher for established firms with a good track record of dividend payments than for firms with a short history of dividend payments or for firms with an unreliable history of dividend payments. After controlling the reputation effect and other relevant variables, we find there exists a significantly positive relationship between dividend yields and stock returns. We also find that one year is not enough time for firms to build a dividend reputation.

show abstract

“…In estimating implied rates, we follow closely Golez (2014 (based on the bid-ask mid-point) is lower than 0.5 or higher than 1.5.…”

Section: A Data and Estimationmentioning

confidence: 99%

“…As in Golez (2014), we combine the option put-call parity and the future's cost-of-carry. In this way, we can estimate implied rates purely from the observed prices of derivatives without the need to estimate future dividends.…”

Section: Introductionmentioning

confidence: 99%

Funding Liquidity Implied by S&P 500 Derivatives

2015

Self Cite

View full text Add to dashboard Cite

We derive a funding liquidity measure based on synthetic borrowing in the S&P 500 derivative markets. Our measure captures funding constraints of option liquidity providers and affects importantly the returns of leveraged managed portfolios. Hedge funds with negative exposure to changes in the funding liquidity earn high returns in normal times and low returns in crises periods when funding liquidity deteriorates. The results are not driven by the existing measures of funding or market liquidity. To an extent, our funding liquidity measure also affects leveraged closed-end mutual funds and asset classes where leveraged investors are marginal investors.

show abstract

Expected Returns and Dividend Growth Rates Implied by Derivative Markets

Cited by 93 publications

References 40 publications

The Dog Has Barked for a Long Time: Dividend Growth Is Predictable

The Dog Has Barked for a Long Time: Dividend Growth Is Predictable

Dividend Yields, Stock Returns and Reputation

Funding Liquidity Implied by S&P 500 Derivatives

Contact Info

Product

Resources

About