On the Timing and Pricing of Dividends
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.
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Copy CitationJules H. van Binsbergen, Michael W. Brandt, and Ralph S.J. Koijen, "On the Timing and Pricing of Dividends," NBER Working Paper 16455 (2010), https://doi.org/10.3386/w16455.
Published Versions
Jules van Binsbergen & Michael Brandt & Ralph Koijen, 2012. "On the Timing and Pricing of Dividends," American Economic Review, American Economic Association, vol. 102(4), pages 1596-1618, June. citation courtesy of 
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