On the Timing and Pricing of Dividends: Comment
AbstractI present novel empirical evidence on the term structure of the equity risk premium. In contrast to previous research that documented high discount rates for the short-term component of the market portfolio, I show evidence for an unconditionally flat term structure of equity risk premia. The tension with previous literature arises largely as a result of differential treatments of heterogeneous investment taxes, manifested in micro evidence on abnormal equity returns on ex-dividend days, and liquidity. The results not only help resolve an important recent "puzzle" but provide further important insights on the role of investment taxes in asset pricing.
CitationSchulz, Florian. 2016. "On the Timing and Pricing of Dividends: Comment." American Economic Review, 106 (10): 3185-3223. DOI: 10.1257/aer.20131416
- G11 Portfolio Choice; Investment Decisions
- G12 Asset Pricing; Trading volume; Bond Interest Rates
- G35 Payout Policy