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Holding Period Return-Risk Modeling: The Importance of Dividends

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Author Info
Hallerbach, W.G.P.M. (Erasmus Research Institute of Management (ERIM), RSM Erasmus University)

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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.

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Paper provided by 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. in its series Research Paper with number ERS-2003-064-F&A Revision_Date: 2009-07-29.

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Date of creation: 25 Sep 2003
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Handle: RePEc:dgr:eureri:30001047

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Keywords: dividends; holding period return;

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  1. 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. [Downloadable!] (restricted)
  2. McCurdy, Thomas H & Morgan, Ieuan G, 1991. "Tests for a Systematic Risk Component in Deviations from Uncovered Interest Rate Parity," Review of Economic Studies, Blackwell Publishing, vol. 58(3), pages 587-602, May. [Downloadable!] (restricted)
  3. Engle, Robert F & Ng, Victor K, 1993. " Measuring and Testing the Impact of News on Volatility," Journal of Finance, American Finance Association, vol. 48(5), pages 1749-78, December. [Downloadable!] (restricted)
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  4. Krugman, Paul R, 1991. "Target Zones and Exchange Rate Dynamics," The Quarterly Journal of Economics, MIT Press, vol. 106(3), pages 669-82, August. [Downloadable!] (restricted)
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  5. James MacKinnon, 1990. "Critical Values for Cointegration Tests," University of California at San Diego, Economics Working Paper Series 90-4, Department of Economics, UC San Diego. [Downloadable!]
  6. Malliaropulos, Dimitrios, 1997. "A multivariate GARCH model of risk premia in foreign exchange markets," Economic Modelling, Elsevier, vol. 14(1), pages 61-79, January. [Downloadable!] (restricted)
  7. 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. [Downloadable!] (restricted)
  8. Malliaropulos, Dimitrios, 1995. "Conditional Volatility of Exchange Rates and Risk Premia in the EMS," Applied Economics, Taylor and Francis Journals, vol. 27(1), pages 117-23, January.
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