Holding Period Return-Risk Modeling: The Importance of Dividends

Winfried Hallerbach

ERIM Report Series Research in Management from Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam

Abstract: 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: dividends; holding period return (search for similar items in EconPapers)
JEL-codes: C13 C22 C89 G14 G3 M (search for similar items in EconPapers)
Date: 2003-09-25
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Persistent link: https://EconPapers.repec.org/RePEc:ems:eureri:928

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