Holding Period Return-Risk Modeling: The Importance of Dividends
2003-09-25
Research Paper
This publication is part of collection
| Related Files |
|---|
View PDF Version
(ERS 064 Holding Period Return Risk Modeling.pdf, 0.4MB) |
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.
Keywords
Classifications using
Journal of Economic Literature (JEL) Classification System
- G3 : Corporate Finance and Governance
- C89 : Data Collection and Data Estimation Methodology; Computer Programs: Other
- G14 : Information and Market Efficiency; Event Studies
- C22 : Time-Series Models; Dynamic Quantile Regressions
- M : Business Administration and Business Economics; Marketing; Accounting
- C13 : Estimation
Automatically Extracted Terms
- return
- dividend
- price
- period
- equity
- price return
- ratio
- value
- riskfree rate
- dividend ratio
- index
- riskfree
- stock
- t-bill
- investment
- reinvestment
- horizon value
- equity return
- dividend return
- horizon
