Investment products tracking the performance of equity indices have become irreplaceable in the investment community. We are the first to analyze the impact of index replacements and the choice of indexing methodologies on relative performance of both, price and dividend indices. We implement an...

Important dimensions of dividend behavior are not well understood. How do dividends behave in extreme states of the world? Why is the risk premium on dividend claims so high? Would dividend bans in crisis states have plausible effects on firms' cost of capital? In this paper we use evidence from...

This paper studies time variation in the expected excess returns of traded claims on dividends, bonds, and stock indices for international markets. We introduce a novel dividend risk factor that complements the well-known bond risk factor of Cochrane and Piazzesi (2005). When the dividend risk...