Holding Period Return-Risk Modeling :The Importance of Dividends
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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Volume (Year): 23 (2005)
Issue (Month): (Abril)
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