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On the Timing and Pricing of Dividends / Jules H. van Binsbergen, Michael W. Brandt, Ralph S.J. Koijen.
- Format:
- Book
- Author/Creator:
- van Binsbergen, Jules H.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w16455.
- NBER working paper series no. w16455
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2010.
- Summary:
- We recover prices of dividend strips on the aggregate stock market using data from derivatives markets. The price of a k-year dividend strip is the present value of the dividend paid in k years. The value of the stock market is the sum of all dividend strip prices across maturities. We study the properties of strips and find that expected returns, Sharpe ratios, and volatilities on short-term strips are higher than on the aggregate stock market, while their CAPM betas are well below one. Short-term strip prices are more volatile than their realizations, leading to excess volatility and return predictability.
- Notes:
- Print version record
- October 2010.
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