Abstract

http://ssrn.com/abstract=1710195
 
 

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On the Timing and Pricing of Dividends


Jules H. Van Binsbergen


University of Pennsylvania - The Wharton School; National Bureau of Economic Research (NBER)

Michael W. Brandt


Duke University - Fuqua School of Business; National Bureau of Economic Research (NBER)

Ralph S. J. Koijen


London Business School - Department of Finance; National Bureau of Economic Research (NBER)

March 31, 2011

MFI Working Paper No. 210-010

Abstract:     
We recover prices of dividend strips on the aggregate stock market using data from derivatives markets. The price of a k-year dividend strip is the present value of the dividend paid in k years. The value of the stock market is the sum of all dividend strip prices across maturities. We study the properties of strips and find that expected returns, Sharpe ratios, and volatilities on short-term strips are higher than on the aggregate stock market, while their CAPM betas are well below one. Short-term strip prices are more volatile than their realizations, leading to excess volatility and return predictability.

Number of Pages in PDF File: 49

Keywords: Equity risk premium, dividend strips, excess volatility

JEL Classification: E3, G1

Accepted Paper Series





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Date posted: November 17, 2010 ; Last revised: September 15, 2013

Suggested Citation

van Binsbergen, Jules H. and Brandt, Michael W. and Koijen, Ralph S. J., On the Timing and Pricing of Dividends (March 31, 2011). MFI Working Paper No. 210-010. Available at SSRN: http://ssrn.com/abstract=1710195

Contact Information

Jules H. Van Binsbergen
University of Pennsylvania - The Wharton School ( email )
3641 Locust Walk
Philadelphia, PA 19104-6365
United States
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
HOME PAGE: http://www.nber.org/people/jules_vanbinsbergen
Michael W. Brandt
Duke University - Fuqua School of Business ( email )
1 Towerview Drive
Durham, NC 27708-0120
United States
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Ralph S. J. Koijen (Contact Author)
London Business School - Department of Finance ( email )
Sussex Place
Regent's Park
London NW1 4SA
United Kingdom
National Bureau of Economic Research (NBER) ( email )
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
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