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Holding Period Effects in Dividend Strip Returns - Home
  • Holding Period Effects in Dividend Strip Returns

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Pipeline Dataframes 📊

  • Dataframe: P04:all_strip_prices -
  • Dataframe: P04:clean_crsp_sp500_monthly -
  • Dataframe: P04:clean_options -
  • Dataframe: P04:clean_rates -
  • Dataframe: P04:clean_zero_curve -
  • Dataframe: P04:crsp_sp500_daily -
  • Dataframe: P04:crsp_treasury_returns -
  • Dataframe: P04:fama_french_factors -
  • Dataframe: P04:fama_french_monthly -
  • Dataframe: P04:fred_treasury_rates -
  • Dataframe: P04:implied_rates -
  • Dataframe: P04:implied_rates_1y -
  • Dataframe: P04:monthly_returns -
  • Dataframe: P04:optionmetrics_spx_monthly -
  • Dataframe: P04:optionmetrics_spx_raw -
  • Dataframe: P04:optionmetrics_zero_curve -
  • Dataframe: P04:strip_prices -
  • Dataframe: P04:zero_curve_1y -

Categories

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Tags

  • Derived from implied_rates
  • Derived from strip_prices
  • all_strip_prices
  • and crsp_treasury_returns
  • clean_crsp_sp500_monthly
  • fama_french_monthly

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16 March 2026 - Chart: Figure 3: Volatility Across Holding Periods

16 March 2026 - Chart: Figure 3 Extension

16 March 2026 - Chart: Figure 2: Cumulative Returns

16 March 2026 - Chart: Figure 2 Extension (Winsorized)

16 March 2026 - Chart: Figure 2 Extension

16 March 2026 - Chart: Figure 1: 12-Month Interest Rates

16 March 2026 - Chart: Figure 1 Summary Statistics

16 March 2026 - Chart: Figure 1 Extension

By Jie Lin and Zimeng Yi

© Copyright 2026, Jie Lin and Zimeng Yi.