The term structure of implied dividend yields and expected returns

This paper proposes a new dividend-based S&P 500 Index return predictor, the implied dividend yield term structure (IDYTS). We show that the IDYTS is a “cleaner” predictor than its conventional counterpart, the dividend price ratio (DP), in that the expected return is a linear combination of the...

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Veröffentlicht in:	Economics letters 2015-03, Vol.128, p.9-13
Hauptverfasser:	Bilson, John F.O., Kang, Sang Baum, Luo, Hong
Format:	Artikel
Sprache:	eng
Schlagworte:	Dividend price ratio Dividend yield Dividends Expected returns Indexes Options markets Portfolio analysis Predictive regression Regression analysis Sharpe ratio Stochastic dominance Stochastic processes Studies Term structure Yield
Online-Zugang:	Volltext
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