I am looking at two different ways of estimating the expected / implied dividends from market data.
1. Dividend futures
I know that this asset class is not very liquid and might not be representative enough. However, assuming that I have prices which are good enough, how could I estimate the implied divided from the contract price?
For instance, if I have an exchange traded contract whose settlement is the sum of actual dividends paid during 2013, could I just take the current contract price and capitalize it up to the settlement date in order to obtain the implied dividend for 2013?
EDIT: Example added for illustration purposes:
On 05 july 2013, the quoted prices for Santander Dividend Futures are:
- 2013 contract; Maturity 20 Dec 2013; Price: 0.58
- 2014 contract; Maturity 19 Dec 2014; Price: 0.41
- 2015 contract; Maturity 18 Dec 2015; Price: 0.32
For simplicity assume that:
- Each contract is linked to the sum of all dividends paid during the corresponding calendar year.
- Appropriate risk free rates for each contract are: 0,1%; 0,3%; 0,5%.
If I want to estimate the total amount of implied dividends for each year, could these figures be obtained as:
D2013=0.58e(0,001∗0.46)=0.5802
2. Index / single-stock futures
Alternatively, if I wanted to estimate the dividend yield for a stock, what are the limitations of calculating the implied yield directly from the market prices as:
F=S0e(r−q)T⇒q=rT−lnFS0T
I guess there must be certain shortcomings with this aprroach, since usually the synthetic forward is obtained through the put-call parity instead of using the futures prices.
Thanks in advance!
No comments:
Post a Comment