Holding Period Return-Risk Modeling: The Importance of Dividends
24 Pages Posted: 15 Oct 2003
Date Written: 25 2003 9,
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.
Keywords: dividends, holding period return
JEL Classification: M, G3, C13, C22, C89, G14
Suggested Citation: Suggested Citation