期权隐含股息和市场风险溢价

IF 4.8 2区经济学 Q1 BUSINESS, FINANCE

International Review of Economics & Finance Pub Date : 2024-10-18 DOI:10.1016/j.iref.2024.103675

Angelo Aspris, Hamish Malloch, Jiri Svec

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引用次数: 0

摘要

我们提出了一种新方法，可以根据观察到的期权价格计算出市场风险溢价中预期未来股息部分的下限。我们发现，我们对未来股息收益率的估计具有与未来已实现股息收益率相似的特征，表现出显著的波动性，并且对已实现股息收益率有很强的预测作用。我们证明，股息收益率的期限结构是向下倾斜的，股息收益率约占美国市场总风险溢价的 27%。我们的研究结果表明，股息收益率是美国市场总风险溢价的重要组成部分。

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Option implied dividends and the market risk premium

We propose a new method for computing a lower bound to the expected future dividend component of the market risk premium from observed option prices. We find that our estimate of future dividend yields has similar characteristics to future realized dividend yields, exhibits significant volatility and is a strong predictor of the realized dividend yield. We demonstrate that the dividend yield term structure is downward sloping and dividend yields constitute around 27% of the total market risk premium in the US. Our findings indicate that dividend yields are an important component of the total US market risk premium.

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来源期刊

International Review of Economics & Finance Multiple-

CiteScore

7.30

自引率

2.20%

发文量

253

期刊介绍： The International Review of Economics & Finance (IREF) is a scholarly journal devoted to the publication of high quality theoretical and empirical articles in all areas of international economics, macroeconomics and financial economics. Contributions that facilitate the communications between the real and the financial sectors of the economy are of particular interest.