Replication data for: On the Timing and Pricing of Dividends
Principal Investigator(s): View help for Principal Investigator(s) Jules van Binsbergen; Michael Brandt; Ralph Koijen
Version: View help for Version V1
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| 20101209_data | 10/11/2019 05:39:PM | ||
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text/plain | 14.6 KB | 10/11/2019 01:39:PM |
Project Citation:
van Binsbergen, Jules, Brandt, Michael, and Koijen, Ralph. Replication data for: On the Timing and Pricing of Dividends. Nashville, TN: American Economic Association [publisher], 2012. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-11. https://doi.org/10.3886/E112532V1
Project Description
Summary:
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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.
Scope of Project
JEL Classification:
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G12 Asset Pricing; Trading Volume; Bond Interest Rates
G35 Payout Policy
G12 Asset Pricing; Trading Volume; Bond Interest Rates
G35 Payout Policy
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