Hang Dong

Education

• Ph.D. Candidate in Finance, University of Georgia, 2021 - 2026 (Expected)

• M.Sc. in Banking and Finance, Ghent University, 2020

• M.Sc. in Financial Management, Vlerick Business School, 2019

• MEcon, University of Hong Kong, 2014

• B.Sc. in Physics,  Sichuan University, 2013

Research Interests: Asset Pricing, Investment, Derivatives, Dividend Futures, State-Space Models, Equity Risk Premia

Working Papers

Equity Yields, Investor Expectations, and the Prediction of Dividend Growth (Job Market Paper)

• Presentations (Scheduled): FMA Regular Session (2025);  FMA Special PhD Paper Presentations and Doctoral Student Consortium (2025);  FMA Asia (2025) 

I develop a state-space model that infers dividend growth expectations from short-maturity dividend futures. Using the longest available dataset of proprietary OTC dividend swaps and exchange-listed futures, I show that dividend growth is more predictable than previously recognized. Specifically, the model outperforms existing approaches in forecasting dividend growth for the S&P 500 and delivers strong predictive performance for Euro Stoxx 50, Nikkei 225, and FTSE 100, particularly during market downturns. This superior performance reflects the model’s ability to capture time-varying predictive relationships through recursive updating in a state-space framework. The results underscore the value of short-maturity futures in isolating information about near-term cash flow expectations and represent a significant improvement over traditional dividend yield-based forecasts.

Dividend Strips and Equity Risk Term Structure:  Evidence from Dividend Futures

with  Zhongjin Lu

We study the term structure of equity risk premia and its business-cycle dynamics using prices of dividend futures. We assemble the longest dataset on dividend strips, spanning 2003 to 2023, by combining proprietary OTC data with exchange-traded contracts. This dataset is comparable in length to those in prior studies using option-implied dividends, but draws on directly observed dividend futures prices, thereby materially reducing measurement error for short maturities. Re-examining earlier findings, we show that Sharpe ratios on short-maturity dividend strips are roughly flat across maturities and comparable to those of the aggregate equity market, rather than systematically higher. We confirm that the term premium is countercyclical and alpha is procyclical, while evidence of cyclical variation in Sharpe ratios is weak.

Work in Progress

Volatility Leads Equity Yields: Insights into Future Cash Flow Expectations from Implied Volatility

This paper studies how market-implied volatility expectations, measured by implied volatility indices (VIX), relate to expectations of future cash flows as reflected in equity yields from dividend futures. I analyze both contemporaneous and lead-lag relationships between these forward-looking indicators. The analysis reveals strong correlation, with their normalized time series showing pronounced, consistent co-movements. Importantly, the VIX significantly predicts future equity yields, leading them by approximately three months in Europe, with a similar but weaker relationship in the U.S. These findings suggest that implied volatility embeds information about investors’ expectations of future cash flows across markets, illustrating how expectations of dividends adjust in response to shifts in perceived market risk.