TY  - BOOK
AU  - van Binsbergen,Jules H.
AU  - Brandt,Michael W.
AU  - Koijen,Ralph S.J.
ED  - National Bureau of Economic Research.
TI  - On the Timing and Pricing of Dividends
T2  - NBER working paper series
PY  - 2010///
CY  - Cambridge, Mass.
PB  - National Bureau of Economic Research
N1  - October 2010; Hardcopy version available to institutional subscribers
N2  - 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
UR  - https://www.nber.org/papers/w16455
UR  - http://dx.doi.org/10.3386/w16455
ER  -