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Replication data for: On the Timing and Pricing of Dividends: Comment

Version
V0
Resource Type
Dataset
Creator
  • Schulz, Florian
Publication Date
2016-10-01
Description
  • Abstract

    I present novel empirical evidence on the term structure of the equity risk premium. In contrast to previous research that documented high discount rates for the short-term component of the market portfolio, I show evidence for an unconditionally flat term structure of equity risk premia. The tension with previous literature arises largely as a result of differential treatments of heterogeneous investment taxes, manifested in micro evidence on abnormal equity returns on ex-dividend days, and liquidity. The results not only help resolve an important recent "puzzle" but provide further important insights on the role of investment taxes in asset pricing.
Availability
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Relations
  • Is supplement to
    DOI: 10.1257/aer.20131416 (Text)
Publications
  • Schulz, Florian. “On the Timing and Pricing of Dividends: Comment.” American Economic Review 106, no. 10 (October 2016): 3185–3223. https://doi.org/10.1257/aer.20131416.
    • ID: 10.1257/aer.20131416 (DOI)

Update Metadata: 2020-05-18 | Issue Number: 2 | Registration Date: 2019-10-12

Schulz, Florian (2016): Replication data for: On the Timing and Pricing of Dividends: Comment. Version: V0. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset. https://doi.org/10.3886/E112958