Abstract

https://ssrn.com/abstract=1940687
 
 

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On the Timing and Pricing of Dividends: Web Appendix


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


New York University (NYU) - Department of Finance; Centre for Economic Policy Research (CEPR)

October 7, 2011


Abstract:     
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.

Number of Pages in PDF File: 17


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Date posted: October 9, 2011  

Suggested Citation

van Binsbergen, Jules H. and Brandt, Michael W. and Koijen, Ralph S. J., On the Timing and Pricing of Dividends: Web Appendix (October 7, 2011). Available at SSRN: https://ssrn.com/abstract=1940687 or http://dx.doi.org/10.2139/ssrn.1940687

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)
New York University (NYU) - Department of Finance ( email )
Stern School of Business
44 West 4th Street
New York, NY 10012-1126
United States
HOME PAGE: http://www.koijen.net
Centre for Economic Policy Research (CEPR) ( email )
77 Bastwick Street
London, EC1V 3PZ
United Kingdom
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