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2
votes
1answer
44 views

Dividend as a function of stock

Let's say I have a stock that pays dividend once a year. I know how much did it pay in 2014, and at which level was stock trading when the dividend decision was made. I'd like to use these data to ...
1
vote
0answers
22 views

Disaggregating stock performance and dividend yield

I modeled the performance of several portfolios with adjusted close data and would now like to understand how much of it is driven by changes in stock price and dividend payouts. I have all the data ...
3
votes
0answers
36 views

How to price lookback american option when its payment is distributed during its life

I would like to price a floating strike american lookback with a particular feature: I don't want to charge upfront the client, rather I would like to insert a "running fee", some sort of a dividend. ...
-1
votes
1answer
31 views

dividend cash in month [closed]

I like know how much money dividend cash I get. For example I own two shares of the stock dividend cash will be 4.54$ ? ...
0
votes
0answers
27 views

What is reliable data source for long term and short term capital gain distribution for funds?

The only source where I can find how the capital gains given out by funds is separated into long term and short term distribution is http://quotes.morningstar.com/fund/aqrix/f?t=AQRIX. It seems weird ...
0
votes
0answers
24 views

calculating share price from dividend discount model

I am trying to calculate dividend as per dividend discount model for titan company limited (india). Calculations: Cost of Equity: Now, As I have done calculation as shown above (formula on top ...
1
vote
1answer
466 views

Black Scholes formula with continuous dividend paying stock

I am reading the part of constructing B&S price for stock paying dividends. The simplest model used continuous yield dividend. But I can not see that rigorous in term of formulations. Firstly, ...
1
vote
2answers
56 views

I have some historical options data, and there are duplicates of some options, how to filter them

I have some historical EOD options data for 2013, and there are duplicates listed for same strikes/expirations. I was told that by the provider that this is due to "special one-time cash payout" for ...
0
votes
1answer
44 views

Calculating “Market Index Dividend Yield” of the ASX

In attempts to establish an investment portfolio with a long term horizon, the method of relative dividend yield has caught my attention. I require the Market Index Dividend Yield to proceed. The ...
0
votes
1answer
21 views

Returns adjusted for dividends

In various financial models such as CAPM, Black Scholes, one assumes the returns are adjusted for dividends. As I understand it, the share price often (in a relative sense) increases a bit before the ...
0
votes
0answers
32 views

Success of trendlines using dividend-adjusted vs un-adjusted data

I'm curious whether anybody has any experience with using trend lines drawn using data which is vs isn't adjusted for dividends. For periods of sideways trading that give roughly horizontal ...
3
votes
5answers
564 views

Option pricing ? Where to get the dividend yield from?

I'm trying to apply Black & Scholes formula for a real example to price a vanilla equity option but I'm strugling a little bit whith the dividend yield. Let's assume I have a stock that trades at ...
1
vote
0answers
71 views

Why would a 9% dividend payment halve the stock price? [closed]

I am trying to understand why a stock experienced a very drastic drop in price. The only event linked to the drop seems to be payment of an unusually big dividend; however its effect on the price ...
0
votes
1answer
107 views

What is the correlation of and Index's dividend yield relative to its constituents?

I would like to know if the dividend yield of and index is correlated with the dividend yields of it's components separately? The purpose of this, is to use the dividend yield of the index as a proxy ...
0
votes
1answer
73 views

Adjusting open, highs and lows for past monthly stock prices?

I'm looking into modelling monthly stock prices and want to start off by using data from Yahoo Finance. I know that the closing prices given there are adjusted for stock splits and dividends, but ...
1
vote
0answers
297 views

MonteCarlo simulation of stock prices using milstein scheme with dividend yield?

While performing a montecarlo simulation of stock prices using the milstein scheme is it possible to take into account the dividend yield into the simulation itself somehow, if we are given a ...
4
votes
0answers
3k views

Difference between S&P 500 index and S&P 500 Total Return index?

There's the standard S&P 500 index (SPX) and the rarer used S&P 500 Total Return index (SPTR). If you compare graphs, you'll find that the latter grows faster. Supposedly, SPTR assumes ...
3
votes
0answers
82 views

Dividend Index Futures

My question is dealing with the proportionality between Dividend Index Futures prices and Index prices. Indeed, we in the past we used to do a simple regression between these variables and use the ...
0
votes
1answer
60 views
6
votes
1answer
2k views

Implied dividend estimation

I am looking at two different ways of estimating the expected / implied dividends from market data. 1. Dividend futures I know that this asset class is not very liquid and might not be ...
1
vote
0answers
185 views

Modelling long run relationship between dividend and earnings

I am working on a paper where I have to model the long run relationship between earnings and dividends. I have downloaded the raw data from shillers website. I have converted the series to ...
1
vote
0answers
104 views

Risk factors for derivatives on dividends

I consider pricing and risk analysis of derivatives on dividends of the members of equity indices (such as Dow Jones EuroStoxx). There are options but I focus on futures. What are the main risk ...
10
votes
2answers
423 views

Stochastic modelling of derivatives on dividends

I consider pricing and risk analysis of derivatives on dividends of the members of equity indices (such as Dow Jones EuroStoxx). There are options but I focus on futures. What are common stochastic ...