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This paper investigates the pricing and timing of dividends by empirically measuring the prices of dividend strips to analyze the term structure of the equity premium. The authors find that short-term dividends have a higher risk premium than long-term dividends, contrary to leading asset pricing models, and document several properties of short-term assets that suggest they are important for understanding excess volatility and risk premiums in equity markets. The study utilizes no-arbitrage relations and op
- Author
- wall apop
- Language
- EN