| Autor: |
Kragt, Jac, de Jong, Frank, Driessen, Joost |
| Předmět: |
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| Zdroj: |
Journal of Financial & Quantitative Analysis; May2020, Vol. 55 Issue 3, p829-867, 39p |
| Abstrakt: |
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. [ABSTRACT FROM AUTHOR] |
| Databáze: |
Complementary Index |
| Externí odkaz: |
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