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Dividend risk and the cross-section ...

Picca, Antonio.

Dividend risk and the cross-section of dividend risk premia.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Dividend risk and the cross-section of dividend risk premia.
Author:	Picca, Antonio.
Description:	80 p.
Notes:	Source: Dissertation Abstracts International, Volume: 76-11(E), Section: A.
Notes:	Advisers: Eugene F. Fama; John C. Heaton.
Contained By:	Dissertation Abstracts International76-11A(E).
Subject:	Finance.
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3711800
ISBN:	9781321882216

Dividend risk and the cross-section of dividend risk premia.
Picca, Antonio.

Dividend risk and the cross-section of dividend risk premia. - 80 p.

Source: Dissertation Abstracts International, Volume: 76-11(E), Section: A.

Thesis (Ph.D.)--The University of Chicago, 2015.

I study a novel data set of short-term dividend futures contracts for individual stocks. I combine this data with dividend forecasts from equity research analysts to construct a model-free measure of short-term dividend risk premia. My data on risk premia for cash flows at a specific horizon (one to two years) provide a more tractable setting for understanding the cross-sectional differences in asset pricing compared to standard equity returns, which mix risk premia for cash flows at infinitely many maturities. The first fact that emerges from my empirical analysis is a strong positive association between dividend risk and risk premia for short-maturity claims. This contrasts with well-known "low risk" anomalies for standard equity. Specifically, I find that firms with high dividend volatility have (i) higher risk premia, (ii) a strongly pro-cyclical slope in their term-structure of risk premia, and (iii) an inverse risk-return relation in realized stock returns. Lastly, I develop an asset-pricing model with heterogeneity in dividend volatility and time-varying market price of risk that explains my empirical results.

ISBN: 9781321882216Subjects--Topical Terms:

183252
Finance.

Dividend risk and the cross-section of dividend risk premia.
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100 1 $a Picca, Antonio. $3 730352
245 1 0 $a Dividend risk and the cross-section of dividend risk premia.
300 $a 80 p.
500 $a Source: Dissertation Abstracts International, Volume: 76-11(E), Section: A.
500 $a Advisers: Eugene F. Fama; John C. Heaton.
502 $a Thesis (Ph.D.)--The University of Chicago, 2015.
520 $a I study a novel data set of short-term dividend futures contracts for individual stocks. I combine this data with dividend forecasts from equity research analysts to construct a model-free measure of short-term dividend risk premia. My data on risk premia for cash flows at a specific horizon (one to two years) provide a more tractable setting for understanding the cross-sectional differences in asset pricing compared to standard equity returns, which mix risk premia for cash flows at infinitely many maturities. The first fact that emerges from my empirical analysis is a strong positive association between dividend risk and risk premia for short-maturity claims. This contrasts with well-known "low risk" anomalies for standard equity. Specifically, I find that firms with high dividend volatility have (i) higher risk premia, (ii) a strongly pro-cyclical slope in their term-structure of risk premia, and (iii) an inverse risk-return relation in realized stock returns. Lastly, I develop an asset-pricing model with heterogeneity in dividend volatility and time-varying market price of risk that explains my empirical results.
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650 4 $a Economics. $3 175999
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710 2 $a The University of Chicago. $b Business and Economics. $3 730353
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856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3711800