Chart: Figure 2: Cumulative Returns#
Replication of Figure 2 showing cumulative strip and market returns over 1996-2022.
Chart#
Sources: Derived from strip_prices, all_strip_prices, clean_crsp_sp500_monthly, fama_french_monthly, and crsp_treasury_returns
This figure plots cumulative wealth indices for a $1 investment in the strip and in the market under raw, risk-free excess, and Treasury excess definitions.
Chart Specs#
Chart Name |
Figure 2: Cumulative Returns |
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Chart ID |
figure2 |
Topic Tags |
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Data Series Start Date |
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Data Frequency |
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Observation Period |
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Lag in Data Release |
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Data Release Timing |
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Seasonal Adjustment |
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Units |
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HTML Chart |
Dataframe Manifest#
Dataframe Name |
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Dataframe ID |
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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 |
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Topic Tags |
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Type of Data Access |
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How is data pulled? |
Constructed by calc_returns.py. |
Data available up to (min) |
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Data available up to (max) |
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Dataframe Path |
/Users/jielin/Desktop/full_stack/p04_golez_jackwerth_2024/_data/calc/monthly_returns.parquet |
Linked Charts:
Pipeline Manifest#
Pipeline Name |
Holding Period Effects in Dividend Strip Returns |
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Pipeline ID |
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Lead Pipeline Developer |
Jie Lin and Zimeng Yi |
Contributors |
Jie Lin, Zimeng Yi |
Git Repo URL |
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Pipeline Web Page |
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Date of Last Code Update |
2026-03-16 00:21:10 |
OS Compatibility |
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Linked Dataframes |
P04:crsp_sp500_daily |