Investments in short-term dividend assets outperform investments in the market according to Binsbergen, Brandt, and Koijen (2012), but contrary to predictions of several asset pricing models. To examine these findings, we double the sample to 24 years. We also advocate an interest rate-invariant...

We estimate short-duration dividend strip prices from 25 years-worth of S&P 500 index option data (1996-2020). We show that short-duration strips offer substantially more attractive returns than does the market, but the measurement error obscures this result at monthly holding periods. For...