Between 37% and 75% of quarterly variations in the U.S. aggregate logarithmic price-dividend ratio are related to economic information that is embedded in the real risk-free rate. Only one hidden factor is required to explain more than 80\% of these common variations. Surprisingly, standard...

We construct a model-free term structure of dividend risk premiums from option prices and aggregate analyst forecasts. Applying the method to 2004-2017 U.S. data, we find it is hump-shaped. Its level increases in business cycle contractions and decreases during expansions. The on average...

We find that option-implied information such as forward-looking variance, skewness and the variance risk premium are sensitive to the way the volatility surface is constructed. For some state-of-the-art volatility surfaces, the differences are economically surprisingly large and lead to...