Replication data for: On the Timing and Pricing of Dividends
- van Binsbergen, Jules
- Brandt, Michael
- Koijen, Ralph
AbstractWe 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.
Is supplement to
DOI: 10.1257/aer.102.4.1596 (Text)
Binsbergen, Jules van, Michael Brandt, and Ralph Koijen. “On the Timing and Pricing of Dividends.” American Economic Review 102, no. 4 (June 2012): 1596–1618. https://doi.org/10.1257/aer.102.4.1596.
- ID: 10.1257/aer.102.4.1596 (DOI)
Update Metadata: 2020-05-18 | Issue Number: 2 | Registration Date: 2019-10-11