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Holding Period Return-Risk Modeling :The Importance of Dividends

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  • HALLERBACH, WINFRIED G..

    ()
    (Dept. of Finance, and Erasmus Research Institute of Management, Erasmus. University Rotterdam, POB 1738, NL-3000 DR Rotterdam, The Netherlands. Phone:+31.10.408-1290. Facsimile: +31.10.408-9165. http://www.few.eur.nl/few/people/hallerbach/)

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. En este trabajo se estudia la relevancia de los dividendos como componente del rendimiento de los activos financiero en el horizonte del largo plazo. Adicionalmente, se estudian varias alternativas de reinversión para estos dividendos. Se usaran series de datos procedentes del mercado americano con información sobre precios y dividendos para el periodo comprendido entre 1871 y 2002. Los resultados son relevantes de cara al estudio de la rentabilidad, de la estimación de la prima de riesgo así como para la simulación de distintas alternativas de inversión.

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Bibliographic Info

Article provided by Estudios de Economía Aplicada in its journal Estudios de Economía Aplicada.

Volume (Year): 23 (2005)
Issue (Month): (Abril)
Pages: 45-65

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Handle: RePEc:lrk:eeaart:23_1_3

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Related research

Keywords: Dividends; Holding Period Return; Geometric mean/Dividendos; Rendimiento; Media Geométrica;

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  1. Robert F. Engle & Victor K. Ng, 1991. "Measuring and Testing the Impact of News on Volatility," NBER Working Papers 3681, National Bureau of Economic Research, Inc.
  2. Ledesma Rodríguez, F. J. & Navarro Ibáñez, Manuel & Pérez Rodríguez, J.V. & Sosvilla Rivero, S., 1999. "A study of the credibility of the Spanish peseta," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 11, pages 85-100, Febrero.
  3. James G. MacKinnon, 1990. "Critical Values for Cointegration Tests," Working Papers 1227, Queen's University, Department of Economics.
  4. Paul R. Krugman, 1988. "Target Zones and Exchange Rate Dynamics," NBER Working Papers 2481, National Bureau of Economic Research, Inc.
  5. McCurdy, Thomas H & Morgan, Ieuan G, 1991. "Tests for a Systematic Risk Component in Deviations from Uncovered Interest Rate Parity," Review of Economic Studies, Wiley Blackwell, vol. 58(3), pages 587-602, May.
  6. Tai, Chu-Sheng, 2001. "A multivariate GARCH in mean approach to testing uncovered interest parity: evidence from Asia-Pacific foreign exchange markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 41(4), pages 441-460.
  7. Malliaropulos, Dimitrios, 1997. "A multivariate GARCH model of risk premia in foreign exchange markets," Economic Modelling, Elsevier, vol. 14(1), pages 61-79, January.
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