TY  - JOUR
AU  - Binsbergen,Jules H. van
AU  - Brandt,Michael W.
AU  - Koijen,Ralph S.J.
TI  - On the Timing and Pricing of Dividends
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 16455
PY  - 2010
Y2  - October 2010
UR  - http://www.nber.org/papers/w16455
L1  - http://www.nber.org/papers/w16455.pdf
N1  - Author contact info:
Jules H. van Binsbergen
Stanford University
Graduate School of Business
655 Knight Way
Stanford, CA 94306
Tel: 650 721 1353
E-Mail: jvb2@gsb.stanford.edu

Michael W. Brandt
Fuqua School of Business
Duke University
One Towerview Drive
Durham, NC  27708
Tel: 919/660-1948
Fax: 919/660-8038
E-Mail: mbrandt@duke.edu

Ralph Koijen
University of Chicago
Booth School of Business
5807 South Woodlawn Avenue
Chicago, IL 60637
Tel: 773/834-4199
E-Mail: ralph.koijen@chicagobooth.edu
AB  - 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.
ER  -