Dataframe: P04:strip_prices -

Target strip-price series used in return construction. For each month, the pipeline selects the paper-style target expiration date and estimates one strip price using put-call parity and the option-implied interest rate.

DataFrame Glimpse

Rows: 348
Columns: 5
$ date        <datetime[ns]> 2024-12-31 00:00:00
$ exdate      <datetime[ns]> 2026-06-18 00:00:00
$ strip_price          <f64> 68.4027796539026
$ tau                  <f64> 1.463013698630137
$ r_implied            <f64> 0.044359020299570014

Dataframe Manifest

Dataframe Name
Dataframe ID	strip_prices
Data Sources	Derived from clean_options and implied_rates
Data Providers	Internal pipeline
Links to Providers
Topic Tags
Type of Data Access
How is data pulled?	Constructed by calc_strip_prices.py.
Data available up to (min)	2024-12-31 00:00:00
Data available up to (max)	2024-12-31 00:00:00
Dataframe Path	/Users/jielin/Desktop/full_stack/p04_golez_jackwerth_2024/_data/calc/strip_prices.parquet

Linked Charts:

• None

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