We show that the dividend growth rate implied by the options market is informative about i) the expected dividend growth rate and ii) the expected dividend risk premium. We model the expected dividend risk premium and explore its implications for the predictability of dividend growth and stock market returns. Correcting for the expected dividend risk premium strengthens the evidence for the predictability of dividend growth and stock market returns both in and out of sample. Economically, a market-timing investor who accounts for the time-varying expected dividend risk premium realizes an additional utility gain of 2.02% per year.

中文翻译：

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股息风险溢价的预测能力

我们表明，期权市场隐含的股息增长率是关于 i) 预期股息增长率和 ii) 预期股息风险溢价的信息。我们对预期股息风险溢价进行建模，并探讨其对股息增长和股票市场回报的可预测性的影响。修正预期股息风险溢价加强了样本内外股息增长和股票市场回报可预测性的证据。从经济上讲，考虑到随时间变化的预期股息风险溢价的市场时机投资者每年可以获得 2.02% 的额外效用收益。