Holding Period Effects in Dividend Strip Returns

Kurzanzeige
dc.contributor.authorGolez, Benjamin
dc.contributor.authorJackwerth, Jens
dc.date.accessioned2023-10-24T13:10:13Z
dc.date.available2023-10-24T13:10:13Z
dc.date.issued2022
dc.description.abstractWe 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.
dc.description.versionpublisheddeu
dc.identifier.doi10.2139/ssrn.4015723
dc.identifier.urihttps://kops.uni-konstanz.de/handle/123456789/67967
dc.language.isoeng
dc.subjectDividend term structure
dc.subjectdividend strips
dc.subjectoption pricing
dc.subjectinterest rate invariant
dc.subject.ddc330
dc.titleHolding Period Effects in Dividend Strip Returnseng
dc.typeWORKINGPAPER
dspace.entity.typePublication
kops.citation.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}
}
kops.citation.iso690GOLEZ, Benjamin, Jens JACKWERTH, 2022. Holding Period Effects in Dividend Strip Returnsdeu
kops.citation.iso690GOLEZ, Benjamin, Jens JACKWERTH, 2022. Holding Period Effects in Dividend Strip Returnseng
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