Holding Period Effects in Dividend Strip Returns
利用1996-2022年标普500指数期权数据估计短期股息剥离价格，发现短期剥离的夏普比率不低于市场，且具有低市场贝塔和正阿尔法；其期限溢价和夏普比率期限结构呈逆周期，而阿尔法期限结构呈顺周期。
Abstract We estimate short-term dividend strip prices from 27 years of S&P 500 index options data (1996-2022). We use option-implied interest rates when estimating strip prices and longer holding period returns to mitigate measurement error. We find that Sharpe ratios for short-term strips are similar to or higher than Sharpe ratios for the market. Short-term strips also have a low market beta and a positive alpha. Over the business cycle, realized term premiums (ie, the difference between market and strip returns) and the term structure of Sharpe ratios move countercyclically, whereas the term structure of alphas moves procyclically.