On the Timing and Pricing of Dividends: Comment

• 成果类型: Article
• 署名作者: Schulz, Florian
• 署名单位: University of Washington; University of Washington Seattle
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.20131416
• 发表日期: 2016
• 页码: 3185-3223
• 关键词: stock-prices; DAY BEHAVIOR; market valuation; rare disasters; returns; taxes; RISK; DISCRETENESS; biases; rates

摘要

I present novel empirical evidence on the term structure of the equity risk premium. In contrast to previous research that documented high discount rates for the short-term component of the market portfolio, I show evidence for an unconditionally flat term structure of equity risk premia. The tension with previous literature arises largely as a result of differential treatments of heterogeneous investment taxes, manifested in micro evidence on abnormal equity returns on ex-dividend days, and liquidity. The results not only help resolve an important recent puzzle but provide further important insights on the role of investment taxes in asset pricing.