| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w16455 |
| 来源ID | Working Paper 16455 |
| On the Timing and Pricing of Dividends | |
| Jules H. van Binsbergen; Michael W. Brandt; Ralph S.J. Koijen | |
| 发表日期 | 2010-10-14 |
| 出版年 | 2010 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Macroeconomics ; Business Cycles ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w16455 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/574129 |
| 推荐引用方式 GB/T 7714 | Jules H. van Binsbergen,Michael W. Brandt,Ralph S.J. Koijen. On the Timing and Pricing of Dividends. 2010. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w16455.pdf（572KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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