On the Timing and Pricing of Dividends: Comment
提供了权益风险溢价期限结构的新实证证据，发现其无条件平坦，与先前研究矛盾源于对投资税收和流动性的不同处理，有助于解决近期谜题并揭示税收在资产定价中的作用。
I present novel empirical evidence on the term structure of the equity risk premium. In contrast to previous research that documented high discount rates for the short-term component of the market portfolio, I show evidence for an unconditionally flat term structure of equity risk premia. The tension with previous literature arises largely as a result of differential treatments of heterogeneous investment taxes, manifested in micro evidence on abnormal equity returns on ex-dividend days, and liquidity. The results not only help resolve an important recent “puzzle” but provide further important insights on the role of investment taxes in asset pricing.