Quarter-of-a-Century of Dividend Pricing
32 Pages Posted: 5 May 2020
Date Written: April 14, 2020
Abstract
Investments in short-term dividend assets outperform investments in the market according to Binsbergen, Brandt, and Koijen (2012), but contrary to predictions of several asset pricing models. To examine these findings, we double the sample to 24 years. We also advocate an interest rate-invariant approach to estimate prices of dividend assets by combining put-call pairs. This approach avoids the bias in returns induced by exogenous interest rates. In our results, the term structure of dividend returns is flat throughout maturities and varies over the business cycle more than once thought. Moments of the dividend assets are in line with the index.
Keywords: Dividend, Term, Structure
JEL Classification: G10, G13, G35
Suggested Citation: Suggested Citation