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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.

Suggested Citation

  • Hallerbach, Winfried G.., 2005. "Holding Period Return-Risk Modeling :The Importance of Dividends," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 23, pages 45-65, Abril.
  • Handle: RePEc:lrk:eeaart:23_1_3
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    References listed on IDEAS

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    More about this item

    Keywords

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

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C89 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Other
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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