Hot answers tagged

4

You could compute index dividend yield from ATM options using linearized put-call parity (assuming index options are European.) The present value of the dividend payment is: $PV(div) = P - C + (S - K) + K(e^{rT} - 1)$ where $r$ is interest rate to the option expiration and $T$ is time to maturity in years. Then the implied dividend is: $d = ...


3

Some recent US-listed stocks that have had stock dividends include: NYSE:TR ex-date 20160304 (3% stock dividend, plus also a cash dividend this day too) NYSE:EEQ ex-date 20160203 (3.582842% stock dividend) NASDAQ:SNFCA ex-date 20160113 (5% stock dividend). A stock dividend is effectively a tiny stock split. In the case of a 5% stock dividend, it's the ...


3

You get nothing, by this logic you could accumulate risk-free money all day by buying/selling on the ex-date as long as the dividend is larger than the spread.


2

Basically the Total Return Index assumes reinvestments compared to "regular" indices. "A total return index is an index that measures the performance of a group of components by assuming that all cash distributions are reinvested, in addition to tracking the components' price movements.1 While it is common to refer to equity based indices, there ...


2

In real life, you imply the unknown dividend yields from the forwards and the discount curve.


2

As a first Idea I would propose to incorporate basic ideas of Behavioural Finance and Dividend Theory into your considerations; for reference, look at: Baker, Malcolm, and Jeffrey Wurgler. Behavioral corporate finance: An updated survey. No. w17333. National Bureau of Economic Research, 2011. They state that investors prefer rather smooth dividend ...


2

If you are not able to find a data set, containing the dividend yield information for all the companies listed in ASX20/50/100/200/300, the only way is for you to make it by researching the companies. However I found this dividend yield scan to get you started. Once you have the dividend yield rate for all the stocks in the given index, it is just a matter ...


2

Call-put parity writes (to see this, notice that $(S_T-K)^+ - (K-S_T)^+ = S_T - K $ and take the discounted risk-neutral expectation $E^{\mathbb {Q}} [. \vert \mathcal {F}_0 ]$ on both sides): $$ C(K,T) - P(K,T) = DF ( F(0,T) - K ) $$ with $DF = e^{-rT} $ the discount factor, and $F(0,T)$ the fair forward price given by $$ F(0,T) = (S_0 - D^*)e^{rT} $$ ...


1

Your return calculation should be on total return, i.e. include dividend income. Your signal, if it is price only, then you should take the price series and not adjust.


1

I am assuming that you are interested in how the returns behave around dividend payment dates, since the adjustment process for Yahoo is covered in their help section. The drop has been found to be aprox. the amount of the dividend yield. More recently it appears, that in the run-up to the dividend date some premium may be earned.


1

For European options you can utilise put-call parity and reverse out the implied dividend yield. I.e. F(T,K) = C(T,K) - P(T,K) and obviously F(T) = S(t)*e^[(r-d)*(T-t)] Interestingly, you get mostly OK results for American ATM options also. Cf. Avellaneda's comments on this in one of his lecture's, page 18, ...


1

There are a couple of options that you can use to account for dollar amount dividends. Firstly, if dividends are expected to increase or decrease in proportion to the stock price, you can convert the dividends into a percentage by dividing the latest dividend by the last stock price on the day the dividend was declared and multiply by the number of dividends ...


1

Can you tell me if my understanding is correct? Yes it's correct, with minor clarification: you're valuing "ex dividend", meaning for FY2017, e.g., you're valuing the company the next moment the dividend was paid out. Should you be interested in "cum dividend" value, you'd add the value of dividends for the year you are entitled for. ...then what ...


1

I don't think you'll find a Bloomberg FLDS event to get all upcoming corporate actions. But using the terminal you can use CACS<GO> to get a list of all upcoming corporate actions for a particular ticker. I'm not sure if you can do the same whit an equity screen EQS.


1

The built in data does not seem go quite 5 years back, but you can access dividend data within Mathematica / WolframCloud as well: FinancialData["NASDAQ:AAPL", "Dividend", {"Jan. 1, 2010,", "Nov. 4, 2015"}] To get a list of all symbols on the NASDAQ: list = FinancialData["NASDAQ:*", "Lookup"] To get/organize data for several symbols on this list (first ...


1

Ftse100 would not have a smooth dividend yield, as your formula has, it would be discrete, being much higher on certain days of year than others. In pricing options on ftse, u need to take into account implied dividends (dividends that are implied by put call parity)


1

You are assuming that the Dividend stated in your figures represents how much dividend you will be receiving in a month. However, you need to know exactly what that field represents. It could be one of the following: Annualised dividend (most recent dividend multiplied by frequency... eg. quarterly dividend multipled by 4) Annualised declared dividend ...


1

my easy solution to this is to take a zero strike call option on the stock which I call a delivery contract for time $T.$. This is easy to price and is worth $e^{q(T-t)} S_t.$ An option on the delivery contract with expiry $T$ has the same value as an option on $S_t$ since they agree at $T.$ The delivery contract is non-dividend paying and follows a GBM so ...


1

When the underlying asset is a stock making this special dividend to its shareholders, it will influence the option. Special dividends is not that common, but usually happens in companies with extraordinarily success or under liquidation / sale of a division / splitting up. Look at Special Dividend on Wikipedia.


1

I can't imagine it would be a good idea to use the dividend yield of an index as a proxy for individual stock yields. Looking at the Google Finance stock screener for NYSE-listed stocks, the bulk of the stocks are in a dividend range 0-9% and the distribution of yields is fairly flat. Also, you don't know how the index's dividend yield is calculated ...


1

The line of thinking is theoretically correct and it is right if you assume that: no other event happened during the trading day or in recent periods (if, for instance, one has a stock split recently, you will take into account also that and so on for all corporate events); The dividend is a cash-dividend (in the case you will have a stock-dividend things ...


1

Have you read Options, Futures and Other Derivatives by John Hull? I have the (ancient) 3rd edition and dividends are covered in section 11.12. (The latest edition is viciously expensive, but getting a used copy of one version back can halve the price.)



Only top voted, non community-wiki answers of a minimum length are eligible