Holding Period Effects in Dividend Strip Returns

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2022
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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.

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330 Wirtschaft
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Dividend term structure, dividend strips, option pricing, interest rate invariant
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ISO 690GOLEZ, Benjamin, Jens JACKWERTH, 2022. Holding Period Effects in Dividend Strip Returns
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@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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