10.17889/E109610V1
Brandt, Michael
Koijen, Ralph
van Binsbergen, Jules
Replication data for: On the Timing and Pricing of Dividends
ICPSR Inter-university Consortium for Political and Social Research
2012
10.1257/aer.102.4.1596
10.1257/aer.102.4.1596
1
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.