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Quantitative Finance · Begrippenlijst

Wat is Dividend future?

Definition 22.2 Markets I: The Ecosystem and Exchange-Traded Markets · Hoofdstuk 22 — Equity Index and Single-Stock Futures Worldwide

A dividend future on an index settles at the sum of the ordinary gross dividends paid by the index’s constituents during a contract period, usually a year, expressed in index points. Before expiry its price is the market’s price for that stream of dividends.

An illustrative strip of annual dividend futures. The implied growth is +2.1\% for the first year and negative afterwards, -0.5\% a year over the five years: the shape that hedging supply produces, whatever analysts forecast. The vertical axis does not start at zero. Data: the tutorial.
Figure 22.3. An illustrative strip of annual dividend futures. The implied growth is +2.1%+2.1\% for the first year and negative afterwards, −0.5%-0.5\% a year over the five years: the shape that hedging supply produces, whatever analysts forecast. The vertical axis does not start at zero. Data: the tutorial.
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