2003-09-25
Holding Period Return-Risk Modeling: The Importance of Dividends
Publication
Publication
In this paper we explore the relevance of dividends in the total equity return over longer time horizons. In addition, we investigate the effects of different reinvestment assumptions of dividends. We use a unique set of revised and corrected US equity data series, comprising monthly prices and dividends based on consistent definitions over the period 1871-2002 (132 years). Our findings are relevant for performance evaluation, for estimating the historical equity risk premium, and for investment simulation.
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hdl.handle.net/1765/928 | |
ERIM Report Series Research in Management | |
Organisation | Erasmus Research Institute of Management |
Hallerbach, W. (2003). Holding Period Return-Risk Modeling: The Importance of Dividends (No. ERS-2003-064-F&A). ERIM Report Series Research in Management. Retrieved from http://hdl.handle.net/1765/928 |