Holding Period Return-Risk Modeling: The Importance of Dividends

24 Pages Posted: 15 Oct 2003

See all articles by Winfried G. Hallerbach

Winfried G. Hallerbach

Robeco Asset Management, Quantitative Investment Research

Date Written: 25 2003 9,

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.

Keywords: dividends, holding period return

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

Suggested Citation

Hallerbach, Winfried George, 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: https://ssrn.com/abstract=450996

Winfried George Hallerbach (Contact Author)

Robeco Asset Management, Quantitative Investment Research ( email )

Weena 850
Rotterdam, 3014 DA
Netherlands
+31102242316 (Phone)

HOME PAGE: http://www.robeco.com/quant

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