We document a new stylized fact regarding the term-structure of futures volatility. We show thatthe relation between the volatility of futures prices and the slope of the term structure of prices isnon-monotone and has a %u201CV-shape%u201D'. This aspect of the data cannot be generated by basic...

We recover prices of dividend strips on the aggregate stock market using data from derivatives markets. The price of a k-year dividend strip is the present value of the dividend paid in k years. The value of the stock market is the sum of all dividend strip prices across maturities. We study the...