Binsbergen, Jules H. vanBrandt, Michael WKoijen, Ralph2023-05-222012-06-012012-06-012017-07-13https://repository.upenn.edu/handle/20.500.14332/34324We present evidence on the term structure of the equity premium. We recover prices of dividend strips, which are short-term assets that pay dividends on the stock index every period up to period T and nothing thereafter. It is short-term relative to the index because the index pays dividends in perpetuity. We find that expected returns, Sharpe ratios, and volatilities on short-term assets are higher than on the index, while their CAPM betas are below one. Short-term assets are more volatile than their realizations, leading to excess volatility and return predictability. Our findings are inconsistent with many leading theories.Copyright © 2012 by the American Economic Association.van Binsbergen, Jules, Michael Brandt, and Ralph Koijen. 2012. "On the Timing and Pricing of Dividends." American Economic Review, 102(4): 1596-1618.EconomicsFinanceFinance and Financial ManagementArticle