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  4. October 2016
  5. On the Timing and Pricing of Dividends: Comment

American Economic Review

ISSN 0002-8282 (Print) | ISSN 1944-7981 (Online)

On the Timing and Pricing of Dividends: Comment

  • Florian Schulz
American Economic Review
vol. 106, no. 10, October 2016
(pp. 3185–3223)
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Abstract

I present novel empirical evidence on the term structure of the equity risk premium. In contrast to previous research that documented high discount rates for the short-term component of the market portfolio, I show evidence for an unconditionally flat term structure of equity risk premia. The tension with previous literature arises largely as a result of differential treatments of heterogeneous investment taxes, manifested in micro evidence on abnormal equity returns on ex-dividend days, and liquidity. The results not only help resolve an important recent "puzzle" but provide further important insights on the role of investment taxes in asset pricing.

Citation

Schulz, Florian. 2016. "On the Timing and Pricing of Dividends: Comment." American Economic Review, 106 (10): 3185–3223. DOI: 10.1257/aer.20131416

Additional Materials

JEL Classification

  • G11 Portfolio Choice; Investment Decisions
  • G12 Asset Pricing; Trading volume; Bond Interest Rates
  • G35 Payout Policy