Quarter-of-a-Century of Dividend Pricing

32 Pages Posted: 5 May 2020

See all articles by Benjamin Golez

Benjamin Golez

University of Notre Dame

Jens Carsten Jackwerth

University of Konstanz - Department of Economics

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

Golez, Benjamin and Jackwerth, Jens Carsten, Quarter-of-a-Century of Dividend Pricing (April 14, 2020). Available at SSRN: https://ssrn.com/abstract=3575450 or http://dx.doi.org/10.2139/ssrn.3575450

Benjamin Golez

University of Notre Dame ( email )

256 Mendoza College of Business
Notre Dame, IN 46556-5646
United States
(574) 631-1458 (Phone)

HOME PAGE: http://business.nd.edu/BenGolez/

Jens Carsten Jackwerth (Contact Author)

University of Konstanz - Department of Economics ( email )

Universitaetsstr. 10
Konstanz, 78457
Germany
+497531882196 (Phone)
+497531883120 (Fax)

HOME PAGE: http://cms.uni-konstanz.de/wiwi/jackwerth/

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