Holding Period Return-Risk Modeling: The Importance of Dividends

Hallerbach, Winfried G.

Abstract

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Holding Period Return-Risk Modeling: The Importance of Dividends

Winfried G. Hallerbach

Robeco Asset Management, Quantitative Strategies

25 2003 9,

ERIM Report Series Reference No. ERS-2003-064-F&A

Abstract:
In this paper we explore the relevance of dividends in the total equity return over longer time horizons. In addition, we investigate the effects of different reinvestment assumptions of dividends. We use a unique set of revised and corrected US equity data series, comprising monthly prices and dividends based on consistent definitions over the period 1871-2002 (132 years). Our findings are relevant for performance evaluation, for estimating the historical equity risk premium, and for investment simulation.

Number of Pages in PDF File: 24

Keywords: dividends, holding period return

JEL Classification: M, G3, C13, C22, C89, G14

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Date posted: October 15, 2003

Suggested Citation

Hallerbach, Winfried G., Holding Period Return-Risk Modeling: The Importance of Dividends (25 2003 9,). ERIM Report Series Reference No. ERS-2003-064-F&A. Available at SSRN: http://ssrn.com/abstract=450996

Contact Information

Winfried George Hallerbach (Contact Author)

Robeco Asset Management, Quantitative Strategies ( email )

Rotterdam, 3011 AG
Netherlands