Questions tagged [dividends]
A dividend is a payment made by a corporation to its shareholders, usually as a distribution of profits.
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CRSP: Return including dividends
Using CRSP data, I tried to compute the historical returns (including dividends) of stocks according to
Total Return = (adjprc + (divamt / cumfacpr / facpr)) / prev_adjprc – 1,
where divamt is the ...
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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 ...
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Replication of a dividend swap
I wanted to know how banks replicate dividend swap, my best guess is to take the spread between a Total Return Swap and a Forward.
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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 ...
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Impact of Discrete and linear dividends on Local Volatility model
I am trying to understand the assumptions and weaknesses of a Dupire Local Volatility model.
If dividends are assumed linear, is it a problem for model calibration? If yes, why?
Why would large values ...
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Why not discount the dividend in the european put lower bound condition?
According to the european put lower bound condition:
$ p \geq max(D + K \cdot e^{-r(t_2-t_0)} - S_0, 0)$
where $t_0$ is now and $t_2$ is maturity. Say $t_1$ is the dividend release time where $t_0&...
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Rigorous formula for adjusted close price
I'm a mathematician who is new to the stock market, and I'm hoping to shine a rigorous light on a simple example of adjusting close prices for, say, dividends.
Let time $t$ represent today. Say that ...
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Reinvesting the dividends of a dividend paying stock
Suppose we have a dividend paying stock that has the following dynamics:
$$dS_t=S_t((\mu-q)dt+\sigma dW_t)$$
With a continuous dividend yield $q$. What is the portfolio $Y_t$ that results out of ...
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Are there any APIs to retrieve stock buybacks and dividends to calculate ERP?
I'm in the process of building a Python library to value stocks using a FCF model and one of the first steps is calculating an implied equity premium. I know there a few ways of doing this, but ...
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How to find the risk-free rate and dividend rate for S&P 500 index options?
I'm currently working on a project using S&P 500 index options(European) data. I haven't done any empirical experiments before, so I'm confused how to find the corresponding risk-free rate and the ...
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Asset pricing and dividend discount model
I want to derive the dividend discount model from the asset pricing formula described in "Efficient Capital Markets: A Review of Theory and Empirical Work" by Eugene Fama 1970. The formula that I am ...
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Extrapolating implied dividend yield
I have liquid option quotes for 1, 2, 3 and 4y expiries. I was able to imply the continuous dividend yield for all of those. How would you extrapolate such implied yield to 5 and 6y expiries?
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Dividend yield for an index
Let's say we want to price an option and so need a dividend yield to plug into Black-Scholes.
We can compute an implied dividend yield for a stock using:
$$F=S_0 e^{(r-d)T}$$
and by isolating for $...
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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 log(...
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Spot/div correlation for autocalls
I cannot find much litterature on the effect of the spot/div correlation or the shape of the spot/div cross gamma concerning the autocallable structures.
In a general way, could someone present an ...
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Calendar arbitrage in implied vol grid with discrete and proportional dividends
I have an implied vol discrete grid, obtained from market data.
To obtain prices from these implied vols, a dividend model with discrete and proportional dividends is used.
How can I verify if there ...
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From the perspective of a company, when is the right time to start paying dividends?
I am trying to understand geometric Brownian motion as it relates to the present discounted value of future dividend payments.
I am supposing that a company has a revenue stream $f(t)$. This is just $...
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Publicly traded instrument analogous to a bond with discount rate equal to a stock dividend rate
Suppose we have a stock paying a stochastic dividend at rate $q$ in a zero interest rate environment. Is there a publicly traded (non-over-the-counter, meaning not specially designed for an entity) ...
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Why is dividend discounted stock equal to cash discounted strike?
Doing some BS problem solving and came across this beauty:
$$S \cdot \text{exp}\Big(-D(T-t)\Big) \text{exp}\bigg(-\frac{d_{1}^{2}}{2}\bigg) = E \cdot \text{exp}\Big(-r(T-t)\Big) \text{exp}\bigg(-\frac{...
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How much of historic S&P500 gains are from price appreciation vs. dividends?
Several sources suggest 70% or so of Stock Market (S&P 500) gains are from Dividend payments (according to several sources, below)
But dividend payments average for the S&P 500 have been about ...
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Future price in continous time
I am in the following continuous time market:
$S_t^0 = rS_t^0dt$
$S_t^1 = (\mu - \delta) S_t^1dt + \sigma S_t^1 dB_t$
where $r, \mu, \delta$ and $\sigma$ are constant values in $\mathbb{R}$. $\delta$...
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Overnight and intraday returns of stock index and ETF seem inconsistent
Figure 2 of the 2019 paper "Celebrating Three Decades of Worldwide Stock Market Manipulation" shows that 29 Jan 1993 to 31 Oct 2019, overnight returns (from close to open) of SPY were 1232% while ...
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Joint time series model of dividends and stock returns
Dividends on stocks are typically paid quarterly. Is there research on bivariate time series models of quarterly stock returns and dividends? Corporate management has discretion over dividends, and ...
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Geometric Brownian Motion with Dividends
I am working on a problem and had a quick question. I understand that for Geometric Brownian Motion we use the formula:
$$X_{t_n} = X_{t_{n-1}} + \mu X_{t_{n-1}} \Delta t + \sigma X_{t_{n-1}} \...
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How to handle database updates for splits/dividends?
I'm finding it an difficult task to maintain a database of stock prices. My main problem is how to efficiently handle splits and dividends. Is it better to handle this in a database with adjusted ...
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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 ...
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How do I calculate the implied dividend yield and/or the forward rate for an equity ETF?
I am interested in building an implied volatility surface for a given ETF given a set of option prices for several combinations of (call/put,strike,expiry). I am interested in different ways to arrive ...
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Calculation of daily dividends from total return index data
I have a question regarding the inclusion of dividend payments in total return indices, but I have no background in finance, so I'm hoping someone here can help me out - any help is highly appreciated!...
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Cash Dividend implies skewed (negative) vol smile?
Say we have a stock $S_t$ which pays a cash dividend at $T_D$ of amount $div$. Let us assume rates $r=0$, for simplicity. Then the forward is $F_{T_D} = S_0 - div$, and we can compute the continuous ...
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Do Dividend Stocks Offer Better Resilience During Market P/E Contraction?
I'm interested in how stocks with higher dividend yields perform during periods of market P/E contraction. Specifically, I've observed that (so far I am working on the models):
Market-wide P/E ...
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Interpreting dividends data from Yahoo Finance
I'm creating a very simple program that calculates the money generated from SPY dividends in a particular period of time.
I was able to find the historical data in Yahoo Finance (https://finance.yahoo....
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Precision issue of dividend adjustment
I'm having an issue with calculation of dividend adjusted prices as I have some mismatches with adjusted prices on other data sources.
For example, here is a day when dividend ex_date of IBM happened:
...
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Pricing non-vanilla options on EuroStoxx50 dividend futures
Liquid vanilla EuroStoxx50 dividend futures options quoted on Eurex are calls or puts whose expiries are the same as the expiry of the underlying futures contract.
Is there any "simple" ...
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Deriving the stochastic process for a dividend-yielding stock (under Black-Scholes assumptions)
In order to derive the Black-Scholes equation for a stock $S(t)$ yielding dividends at the continuous rate $d$
$$
S(t) = S_0 e^{(\mu - d - \frac{\sigma^2}{2})t + \sigma \sqrt{t} N(0,1)} \text{,}
$$ M. ...
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Seed Values guaranteed convergence of Implied Volatility Calculation
Looking for good seed values for Newton Raphson to guarantee convergence of implied volatility calculation for a few models, all of which are for equities that have divs. 1) Bjerksund-Stensland 2002; ...
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How can I find the payout ratio for this company?
I am doing this question that I couldn't find the payout ratio.
For you, company equity beta is unknown, it has a target i.e. current debt to book equity ratio: 0.5 and target debt to market ...
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Where to get the "total" dividend (for a specific stock) from?
I´m trying to build a Stock ranking/Picking model sorted by some kind of score.
For this I need the total dividend by Stock, let´s say for AAPL and FCAU
I have been checking several financial sites, ...
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Value of portfolio with fixed discrete dividends
I know that this is a very simple question, but i want to make sure to grasp the concept of ex dividend and value of portfolio.
Suppose that we have a two period binomial tree of a stock with initial ...
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