Publikation:

Holding Period Effects in Dividend Strip Returns

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2024

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Golez, Benjamin

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https://doi.org/10.1093/rfs/hhae002
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The Review of Financial Studies. Oxford University Press (OUP). 2024, 37(10), S. 3188-3215. ISSN 0893-9454. eISSN 1465-7368. Verfügbar unter: doi: 10.1093/rfs/hhae002

Zusammenfassung

We estimate short-term dividend strip prices from 27 years of S&P 500 index options data (1996-2022). We use option-implied interest rates when estimating strip prices and longer holding period returns to mitigate measurement error. We find that Sharpe ratios for short-term strips are similar to or higher than Sharpe ratios for the market. Shortterm strips also have a low market beta and a positive alpha. Over the business cycle, realized term premiums (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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ISO 690GOLEZ, Benjamin, Jens JACKWERTH, 2024. Holding Period Effects in Dividend Strip Returns. In: The Review of Financial Studies. Oxford University Press (OUP). 2024, 37(10), S. 3188-3215. ISSN 0893-9454. eISSN 1465-7368. Verfügbar unter: doi: 10.1093/rfs/hhae002
BibTex
@article{Golez2024-10-01Holdi-69397,
  year={2024},
  doi={10.1093/rfs/hhae002},
  title={Holding Period Effects in Dividend Strip Returns},
  number={10},
  volume={37},
  issn={0893-9454},
  journal={The Review of Financial Studies},
  pages={3188--3215},
  author={Golez, Benjamin and Jackwerth, Jens}
}
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