The company's unique full-payout dividend policy allows us to estimate an asset pricing model with fundamentally … persistent dividends and a time-varying risk correction. The model is not rejected by the data. Variations in expected future … dividends are found to explain between one-sixth and one-third of variations in prices. Moreover, the risk correction is …

milling firm for most of its 600 year history. We collect share prices and dividends over its entire lifespan. The average … dividend yield in real terms was slightly in excess of is 5% per annum, while the long-term price growth was near zero. The … company's unique full-payout dividend policy allows us to estimate an asset pricing model with fundamentally persistent …

Under the classical gold standard (1880-1914), the Bank of France maintained a stable discount rate while the Bank of …, differ so much? How did the Bank of France manage to keep a stable rate and continuously violate the “rules of the game …”? This paper tackles these questions and shows that the domestic asset portfolio of the Bank of France played a crucial role …

We show that the term structure of dividend risk premia and discount rates implied by equity strip yields are downward ….S., Europe, and Japan. Our results are based on the estimation of a regimeswitching dividend growth model, which allows us to … conflict with the new data on dividend strips. In fact, we show that the standard asset pricing models extended with regime …

tradeoff between market and reinvestment risk explains this pattern. Intuitively, while long-term dividend claims are highly … exposed to market risk, they are also good hedges for reinvestment risk because dividend prices rise as expected returns … long maturities, inducing relatively low risk premia on long-term dividend claims. The model is also consistent with the …

, fundamentalists are more affected by risk aversion and react asymmetrically more to underpricing than to overpricing of the cotton …