On the Timing and Pricing of Dividends: Comment

Florian Schulz

American Economic Review, 2016, vol. 106, issue 10, 3185-3223

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.

JEL-codes: G11 G12 G35 (search for similar items in EconPapers)
Date: 2016
Note: DOI: 10.1257/aer.20131416
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Citations: View citations in EconPapers (22)

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