S&P 500 expected dividends

rrvwmr · October 6th, 2005, 2:33 pm

I'm looking for a decent source on S&P 500 dividend expectations/timing/growth for the pricing of futures contracts. I know you can back out a number using the current market basis, interest rates, etc. I'm mainly looking for the fuzzier data 1-3 years out. Any suggestions?

PaperCut · October 7th, 2005, 1:27 am

Bloomberg "TRMS" screen is helpful (Type in SPX <Index> TRMS <Go>).It provides a nice little "yield curve" of dividends going out a few years. For derivatives that are longer, the divs are actually fairly important, so the assumptions in this calculation become problematic.I assume a "flat term structure" of this curve after a few years for my own purposes.