We estimate a model for the term structure of discounted risk-adjusted dividend growth using prices of dividend futures for the Eurostoxx 50. A two-factor model capturing short-term mean reversion within a year and a medium-term component reverting at business-cycle horizon gives an excellent...

This note clarifies the relation between two competing definitions of the contribution to pricediscovery in market microstructure models: (i) the information share and (ii) the common factorcomponent weight. It is demonstrated that the two measures are closely related, but that only...