---
date: 2026-03-16 00:21:10
tags: Derived from strip_prices, all_strip_prices, clean_crsp_sp500_monthly, fama_french_monthly, and crsp_treasury_returns
category: 
---

# Chart: Figure 3: Volatility Across Holding Periods
Replication of Figure 3 showing annualized volatility across holding periods from 1 to 36 months.

## Chart
```{raw} html
<iframe src="../_static/P04/figure3.html" height="500px" width="100%"></iframe>

<p style="text-align: center;">Sources: Derived from strip_prices, all_strip_prices, clean_crsp_sp500_monthly, fama_french_monthly, and crsp_treasury_returns</p>
```
[Full Screen Chart](../download_chart/P04/figure3.html)





This figure shows how annualized volatility changes with holding period for the strip and the market, under both risk-free and Treasury excess return definitions.


## Chart Specs

| Chart Name             | Figure 3: Volatility Across Holding Periods                                             |
|------------------------|------------------------------------------------------------|
| Chart ID               | figure3                                               |
| Topic Tags             |                                 |
| Data Series Start Date |                                  |
| Data Frequency         |                                          |
| Observation Period     |                                      |
| Lag in Data Release    |                                     |
| Data Release Timing    |                                     |
| Seasonal Adjustment    |                                     |
| Units                  |                                                   |
| HTML Chart             | [HTML](../download_chart/P04/figure3.html)    |


## Dataframe Manifest

| Dataframe Name                 |                                                    |
|--------------------------------|--------------------------------------------------------------------------------------|
| Dataframe ID                   | [monthly_returns](../dataframes/P04/monthly_returns.md)                                       |
| Data Sources                   | Derived from strip_prices, all_strip_prices, clean_crsp_sp500_monthly, fama_french_monthly, and crsp_treasury_returns                                        |
| Data Providers                 | Internal pipeline                                      |
| Links to Providers             |                              |
| Topic Tags                     |                                           |
| Type of Data Access            |                                   |
| How is data pulled?            | Constructed by calc_returns.py.                                                    |
| Data available up to (min)     |                                                              |
| Data available up to (max)     |                                                              |
| Dataframe Path                 | /Users/jielin/Desktop/full_stack/p04_golez_jackwerth_2024/_data/calc/monthly_returns.parquet                                                   |


**Linked Charts:**


- [P04:figure2](../../charts/P04.figure2.md)

- [P04:figure2_extension](../../charts/P04.figure2_extension.md)

- [P04:figure2_extension_winsorized](../../charts/P04.figure2_extension_winsorized.md)

- [P04:figure3](../../charts/P04.figure3.md)

- [P04:figure3_extension](../../charts/P04.figure3_extension.md)



## Pipeline Manifest

| Pipeline Name                   | Holding Period Effects in Dividend Strip Returns                       |
|---------------------------------|--------------------------------------------------------|
| Pipeline ID                     | [P04](../index.md)              |
| Lead Pipeline Developer         | Jie Lin and Zimeng Yi             |
| Contributors                    | Jie Lin, Zimeng Yi           |
| Git Repo URL                    |                         |
| Pipeline Web Page               | <a href="file:///Users/jielin/Desktop/full_stack/p04_golez_jackwerth_2024/docs/index.html">Pipeline Web Page      |
| Date of Last Code Update        | 2026-03-16 00:21:10           |
| OS Compatibility                |  |
| Linked Dataframes               |  [P04:crsp_sp500_daily](../dataframes/P04/crsp_sp500_daily.md)<br>  [P04:crsp_treasury_returns](../dataframes/P04/crsp_treasury_returns.md)<br>  [P04:fred_treasury_rates](../dataframes/P04/fred_treasury_rates.md)<br>  [P04:fama_french_factors](../dataframes/P04/fama_french_factors.md)<br>  [P04:fama_french_monthly](../dataframes/P04/fama_french_monthly.md)<br>  [P04:optionmetrics_spx_raw](../dataframes/P04/optionmetrics_spx_raw.md)<br>  [P04:optionmetrics_spx_monthly](../dataframes/P04/optionmetrics_spx_monthly.md)<br>  [P04:optionmetrics_zero_curve](../dataframes/P04/optionmetrics_zero_curve.md)<br>  [P04:clean_options](../dataframes/P04/clean_options.md)<br>  [P04:clean_zero_curve](../dataframes/P04/clean_zero_curve.md)<br>  [P04:clean_rates](../dataframes/P04/clean_rates.md)<br>  [P04:clean_crsp_sp500_monthly](../dataframes/P04/clean_crsp_sp500_monthly.md)<br>  [P04:implied_rates](../dataframes/P04/implied_rates.md)<br>  [P04:implied_rates_1y](../dataframes/P04/implied_rates_1y.md)<br>  [P04:zero_curve_1y](../dataframes/P04/zero_curve_1y.md)<br>  [P04:strip_prices](../dataframes/P04/strip_prices.md)<br>  [P04:all_strip_prices](../dataframes/P04/all_strip_prices.md)<br>  [P04:monthly_returns](../dataframes/P04/monthly_returns.md)<br>  |