The Dividend Term Structure
利用Eurostoxx 50股息期货价格，估计了一个两因子股息增长期限结构模型，发现短期均值回归和商业周期中期成分能很好拟合价格，且模型解释了大部分股票市场日回报。
We estimate a model for the term structure of discounted risk-adjusted dividend growth using prices of dividend futures for the Eurostoxx 50. A 2-factor model capturing short-term mean reversion within a year and a medium-term component reverting at the business-cycle horizon gives an excellent fit of these prices. Hence, investors update the valuation of dividends beyond the business cycle only to a limited degree. The 2-factor model, estimated on dividend futures data only, explains a large part of observed daily stock market returns. We also show that the 2 latent factors are related to various economic and financial variables.