BIBFRAME Work

Title

On the timing and pricing of dividends

Type

• Monograph
• Text

Contribution

• Brandt, Michael W. (contributor)
• Binsbergen, Jules H. van (author )
• Koijen, Ralph S. J. (contributor)
• National Bureau of Economic Research (contributor)

Language

• eng

Classification

LCC: HB1 (Assigner: dlc) (Status: uba)

Content

• text

Supplementary content

• bibliography

Summary

"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"--National Bureau of Economic Research web site.

Authorized Access Point

Binsbergen, Jules H. van. On the timing and pricing of dividends

Admin Metadata

• Date: 2026-09-11T20:11:54.097031+00:00
• Agent: cbc
• Status: c
• Derived from: 16597615

Admin Metadata

• Date: 2026-09-11
• Cataloger id: Unknown
• Description level: http://id.loc.gov/ontologies/bibframe-2-6-0/
• Description language: eng
• Description authentication: pcc