주식선물가격을 활용한 내재 배당금 추정

This study estimated an dividend implied from the cost of carry model, starting with the question of whether year-end dividends are significantly reflected in futures prices. The main results from the empirical analysis were followings ; first, the basis of the futures price and the size of the “implied dividend” during the estimation period consistently shows significant distinction from the pre and post period. Second, the distribution of disparity between the implied dividend and actual dividend is similar to the disparity of “consensus dividend” in which analysts' estimates are reflected, and the information contents of the implied dividend was assessed to be as high as the consensus dividend in terms of predictability of the actual dividend. Third, debt ratio, total asset and liquidity of stock futures with high explanatory power over actual dividends also have significant explanatory power over implied dividends. The above empirical findings suggest that the level of implied dividends observed in the futures market can be used in the dividend investment strategy in the spot market by aggregating the dividend consensus forecast and provide practical insights.