Seasonality of dividend point indexes

We analyse a variety of dividend-point indexes, typically used to determine the payoff of dividend derivatives. We show strong evidence of seasonality patterns for all indexes examined. Since dividend-point reset with irregular time intervals, we find the need to use a different seasonality function for the current or any future period. We determine the seasonality function by shifting forward the dividends paid in several past intervals and averaging. Finally we show how to use the seasonality functions to determine the virtual quotes of dividend futures with a constant-maturity expiry from the current date.

Keywords: dividend derivatives, dividend futures, dividend seasonality, dividend term structure, constant-maturity futures

Pdf file: dividend-index-seasonality.pdf


Something to Say?