On the timing and pricing of dividends
By: Jules H. van Binsbergen, Michael W. Brandt, Ralph S.J. Koijen
Contributors: Brandt, Michael W.; Koijen, Ralph S. J.; National Bureau of Economic Research
Series: NBER working paper series -- working paper 16455; Working paper series (National Bureau of Economic Research : Online) -- working paper no. 16455.
Publisher: National Bureau of Economic Research
Published: 2010
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Description: "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"--National Bureau of Economic Research web site.
Notes: Title from PDF file as viewed on 3/1/2011.

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