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The Journal of Wealth Management

The Journal of Wealth Management

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Article

The Life Cycle of Dividend Futures and the Dividend Risk Premium: A Practitioner’s Perspective

Daniele Lamponi and David Latto
The Journal of Wealth Management Fall 2017, 20 (2) 67-75; DOI: https://doi.org/10.3905/jwm.2017.20.2.067
Daniele Lamponi
is an investment manager in Geneva, Switzerland. daniele.lamponi@gmail.com
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David Latto
is an investment manager in Geneva, Switzerland. davidklatto@gmail.com
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Abstract

Dividend futures contracts, which allow investors to gain direct exposure to the dividend stream of equity indexes, has recently gained relevance for the investment community. In this article, we discuss their lifecycle and show how they are exposed to multiple factors that drive their prices. For example, far from maturity, their prices are driven by earnings growth and inflation expectations. As the expiration dates approach, the visibility on earnings and dividends improves and prices converge toward realized dividends. We empirically show that this convergence starts between one and two years before expiration.

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The Journal of Wealth Management: 20 (2)
The Journal of Wealth Management
Vol. 20, Issue 2
Fall 2017
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The Life Cycle of Dividend Futures and the Dividend Risk Premium: A Practitioner’s Perspective
Daniele Lamponi, David Latto
The Journal of Wealth Management Jul 2017, 20 (2) 67-75; DOI: 10.3905/jwm.2017.20.2.067

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The Life Cycle of Dividend Futures and the Dividend Risk Premium: A Practitioner’s Perspective
Daniele Lamponi, David Latto
The Journal of Wealth Management Jul 2017, 20 (2) 67-75; DOI: 10.3905/jwm.2017.20.2.067
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  • Article
    • Abstract
    • DIVIDEND FUTURES
    • DATA
    • THE LIFE CYCLE OF DIVIDEND FUTURES
    • THE DIVIDEND RISK PREMIUM
    • CONCLUSION
    • APPENDIX A
    • APPENDIX B
    • REFERENCES
  • Info & Metrics
  • PDF

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  • Smart Beta and Statistical Significance
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