Chart: Figure 3 Extension

Extension of the holding-period volatility analysis through 2024.

Chart

Sources: Derived from strip_prices, all_strip_prices, clean_crsp_sp500_monthly, fama_french_monthly, and crsp_treasury_returns

Full Screen Chart

This figure extends the Figure 3 analysis through 2024 and highlights the increased instability of strip volatility in the post-2022 sample.

Chart Specs

Chart Name	Figure 3 Extension
Chart ID	figure3_extension
Topic Tags
Data Series Start Date
Data Frequency
Observation Period
Lag in Data Release
Data Release Timing
Seasonal Adjustment
Units
HTML Chart	HTML

Dataframe Manifest

Dataframe Name
Dataframe ID	monthly_returns
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

• P04:figure2_extension

• P04:figure2_extension_winsorized

• P04:figure3

• P04:figure3_extension

Pipeline Manifest

Pipeline Name	Holding Period Effects in Dividend Strip Returns
Pipeline ID	P04
Lead Pipeline Developer	Jie Lin and Zimeng Yi
Contributors	Jie Lin, Zimeng Yi
Git Repo URL
Pipeline Web Page	Pipeline Web Page
Date of Last Code Update	2026-03-16 00:21:10
OS Compatibility
Linked Dataframes	P04:crsp_sp500_daily P04:crsp_treasury_returns P04:fred_treasury_rates P04:fama_french_factors P04:fama_french_monthly P04:optionmetrics_spx_raw P04:optionmetrics_spx_monthly P04:optionmetrics_zero_curve P04:clean_options P04:clean_zero_curve P04:clean_rates P04:clean_crsp_sp500_monthly P04:implied_rates P04:implied_rates_1y P04:zero_curve_1y P04:strip_prices P04:all_strip_prices P04:monthly_returns

Chart: Figure 2: Cumulative Returns   Chart: Figure 3: Volatility Across Holding Periods