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Replication data for: On the Timing and Pricing of Dividends

Resource Type
  • van Binsbergen, Jules
  • Brandt, Michael
  • Koijen, Ralph
Publication Date
  • 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.
  • 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.
    • ID: 10.1257/aer.102.4.1596 (DOI)

Update Metadata: 2020-05-18 | Issue Number: 2 | Registration Date: 2019-10-11

van Binsbergen, Jules; Brandt, Michael; Koijen, Ralph (2012): Replication data for: On the Timing and Pricing of Dividends. Version: V0. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset.