{"id":1372,"date":"2021-09-06T10:11:53","date_gmt":"2021-09-06T08:11:53","guid":{"rendered":"https:\/\/iqam-research.de\/?p=1372"},"modified":"2021-09-06T17:10:29","modified_gmt":"2021-09-06T15:10:29","slug":"dividend-predictability","status":"publish","type":"post","link":"https:\/\/iqam-research.de\/en\/dividend-predictability\/","title":{"rendered":"The paper, &#8220;Dividend Predictability and Higher Moment Risk Premia\u201d has been accepted for publication in the Journal of Asset Management."},"content":{"rendered":"<h1>Dividend Predictability and Higher Moment Risk Premia<\/h1>\n<div class=\"reference-info\">Journal of Asset Management, forthcoming<\/div>\n<div class=\"authors authors-full-width\">\n<h2>A\u015fty Al-Jaaf<\/h2>\n<p>Deka Investment GmbH<\/p>\n<\/div>\n<div class=\"abstract-text\">\n<h3>Abstract<\/h3>\n<p>I use model-free methods to estimate the term structures of the variance risk premium (VRP) and the skewness risk premium (SRP) derived from dividend futures and options. I find that VRP is on average negative, whereas SRP is on average positive. They have unique characteristics and can hardly be explained by equity risk factors and equity moment risk premia. I present evidence that both dividend moment risk premia contain significant forecasting power for dividend futures returns in- and out-of-sample. Dividend futures returns are predicted by the VRP (SRP) in almost all setups with a negative (positive) sign.<\/p>\n<\/div>\n","protected":false},"excerpt":{"rendered":"<p>Dividend Predictability and Higher Moment Risk Premia Journal of Asset Management, forthcoming A\u015fty Al-Jaaf Deka Investment GmbH Abstract I use model-free methods to estimate the term structures of the variance&#8230;<\/p>\n","protected":false},"author":5,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"_acf_changed":false,"footnotes":""},"categories":[3],"tags":[],"class_list":["post-1372","post","type-post","status-publish","format-standard","hentry","category-uncategorized"],"acf":[],"_links":{"self":[{"href":"https:\/\/iqam-research.de\/en\/wp-json\/wp\/v2\/posts\/1372","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/iqam-research.de\/en\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/iqam-research.de\/en\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/iqam-research.de\/en\/wp-json\/wp\/v2\/users\/5"}],"replies":[{"embeddable":true,"href":"https:\/\/iqam-research.de\/en\/wp-json\/wp\/v2\/comments?post=1372"}],"version-history":[{"count":6,"href":"https:\/\/iqam-research.de\/en\/wp-json\/wp\/v2\/posts\/1372\/revisions"}],"predecessor-version":[{"id":1420,"href":"https:\/\/iqam-research.de\/en\/wp-json\/wp\/v2\/posts\/1372\/revisions\/1420"}],"wp:attachment":[{"href":"https:\/\/iqam-research.de\/en\/wp-json\/wp\/v2\/media?parent=1372"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/iqam-research.de\/en\/wp-json\/wp\/v2\/categories?post=1372"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/iqam-research.de\/en\/wp-json\/wp\/v2\/tags?post=1372"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}