Holding Period Effects in Dividend Strip Returns

Golez, Benjamin; Jackwerth, Jens

Holding Period Effects in Dividend Strip Returns

Dateien

Zu diesem Dokument gibt es keine Dateien.

Datum

2022

Publikationstyp

Working Paper/Technical Report

Publikationsstatus

Published

Zusammenfassung

We estimate short-term dividend strip prices from 26 years of S&P 500 index options data (1996-2021). We endogenize interest rates when estimating strip prices and use longer holding period returns to mitigate the effect of measurement error. We find that Sharpe ratios for short-term strips are sizable and substantially higher than Sharpe ratios for the market. Short-term strips also have a low market beta and a high alpha. Over the business cycle, realized term premia (i.e., the difference between market and strip returns) and the term structure of Sharpe ratios move countercyclically, whereas the term structure of alphas moves procyclically.

Fachgebiet (DDC)

330 Wirtschaft

Schlagwörter

Dividend term structure, dividend strips, option pricing, interest rate invariant

Zitieren

ISO 690

GOLEZ, Benjamin, Jens JACKWERTH, 2022. Holding Period Effects in Dividend Strip Returns

BibTex

@techreport{Golez2022Holdi-67967,
  year={2022},
  doi={10.2139/ssrn.4015723},
  title={Holding Period Effects in Dividend Strip Returns},
  author={Golez, Benjamin and Jackwerth, Jens}
}

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