Quotation Cejnek, Georg, Randl, Otto. 2019. Dividend Risk Premia. Journal of Financial and Quantitative Analysis (JFQA). 1-79.




This paper studies time variation in the expected excess returns of traded claims on dividends, bonds, and stock indices for international markets. We introduce a novel dividend risk factor that complements the bond risk factor of Cochrane and Piazzesi (2005). By aggregating over four regions (U.S., U.K., Eurozone, Japan), we create global dividend and bond factors. Our global two-factor model captures the excess returns of most MSCI country indices, as well as a variety of other test assets. Our findings highlight the value of information contained in dividend and bond forward curves and suggest substantial co-movement in international risk premia.


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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Journal article
Journal Journal of Financial and Quantitative Analysis (JFQA)
Citation Index SSCI
WU Journalrating 2009 A
WU-Journal-Rating new FIN-A, STRAT-A, VW-A, WH-A
Language English
Title Dividend Risk Premia
Year 2019
Page from 1
Page to 79
Reviewed? Y
DOI https://doi.org/10.1017/S0022109019000309
Open Access N
JEL G12, G15


Cejnek, Georg (Details)
Randl, Otto (Details)
Finance, Accounting and Statistics DP (Details)
Institute for Finance, Banking and Insurance IN (Details)
Research Institute for Capital Markets FI (Details)
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