On the timing and pricing of dividends
Journal
American Economic Review
Subject
Finance
Publishing details
Authors / Editors
Van Binsbergen J;Brandt M;Koijen RSJ
Publication Year
2012
Abstract
We present evidence on the term structure of the equity premium. We recover prices of dividend strips, which are short-term assets that pay dividends on the stock index every period up to period T and nothing thereafter. It is short-term relative to the index because the index pays dividends in perpetuity. We find that expected returns, Sharpe ratios, and volatilities on short-term assets are higher than on the index, while their CAPM betas are below one. Short-term assets are more volatile than their realizations, leading to excess volatility and return predictability. Our findings are inconsistent with many leading theories.
Publication Research Centre
Institute of Finance and Accounting
Available on ECCH
No