We recover prices of dividend strips on the aggregate stock market using data from derivatives markets. The price of a … k-year dividend strip is the present value of the dividend paid in k years. The value of the stock market is the sum of … all dividend strip prices across maturities. We study the properties of strips and find that expected returns, Sharpe …

We recover prices of dividend strips on the aggregate stock market using data from derivatives markets. The price of a … k-year dividend strip is the present value of the dividend paid in k years. The value of the stock market is the sum of … all dividend strip prices across maturities. We study the properties of strips and find that expected returns, Sharpe …

A classic result by Merton (1973) is that, except just before expiration or dividend payments, one should never …

differential treatments of heterogeneous investment taxes, manifested in micro evidence on abnormal equity returns on ex-dividend …

average pre-tax returns on short-term dividend strips are higher than those of the index, but argues that the after … differential tax rates of dividends versus capital gains from ex-dividend day returns. We show that these estimated tax rates are …