The Predictive Power of the Dividend Risk Premium
研究发现期权市场隐含的股息增长率能揭示预期股息增长率和预期股息风险溢价，校正后者后显著增强了股息增长和股市回报的可预测性，市场择时投资者每年可获得2.02%的额外效用收益。
Abstract We show that the dividend growth rate implied by the options market is informative about i) the expected dividend growth rate and ii) the expected dividend risk premium. We model the expected dividend risk premium and explore its implications for the predictability of dividend growth and stock market returns. Correcting for the expected dividend risk premium strengthens the evidence for the predictability of dividend growth and stock market returns both in and out of sample. Economically, a market-timing investor who accounts for the time-varying expected dividend risk premium realizes an additional utility gain of 2.02% per year.