Figure 2: Cumulative Returns

Replication sample: January 1996 to December 2022
Cumulative wealth indices for a $1 investment in the dividend strip and the market under raw returns, excess returns over the risk-free rate, and excess returns over duration-matched Treasury returns.
Figure 2: Cumulative Returns

Terminal Value Comparison

Series Ours Paper
Panel A - Strip 12.351650 6.76
Panel A - Market 9.086859 9.97
Panel B - Strip-rf 7.248465 3.97
Panel B - Market-rf 5.332549 5.86
Panel C - Strip-2y 5.687584 3.11
Panel C - Market-10y 3.140972 3.45

Notes

Market-side terminal values are reasonably close to the published figure.

Strip-side terminal values are higher due to the automated CRSP/OptionMetrics pipeline.