Replication data for: On the Timing and Pricing of Dividends

Principal Investigator(s): View help for Principal Investigator(s) Jules van Binsbergen; Michael Brandt; Ralph Koijen

Version: View help for Version V1

Name	File Type	Size	Last Modified
20101209_data			10/11/2019 05:39:PM
LICENSE.txt	text/plain	14.6 KB	10/11/2019 01:39:PM

Project Citation:

van Binsbergen, Jules, Brandt, Michael, and Koijen, Ralph. Replication data for: On the Timing and Pricing of Dividends. Nashville, TN: American Economic Association [publisher], 2012. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-11. https://doi.org/10.3886/E112532V1

Project Description

Summary: 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.

Scope of Project

JEL Classification:
G12 Asset Pricing; Trading Volume; Bond Interest Rates
G35 Payout Policy

Related Publications

Download this project

Published Versions

V1 [2019-10-11]

Export Metadata

Dublin Core

DDI 2.5

Report a Problem

Found a serious problem with the data, such as disclosure risk or copyrighted content? Let us know.

This material is distributed exactly as it arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the investigator(s) if further information is desired.