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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1answer
54 views

Dividend Discount Model for a stock and its derivatives

This might be a bit basic but I've found this question and I'm definitely over-thinking it and now I've just completely confused myself. I'm just looking for some clarification. I've been given the ...
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591 views

Term structure of Equity returns

What is the meaning of term structure of equity returns. I know what term structure of interest rates means, but somehow i cant seem to relate them. Also, how would we measure them? Also in this paper ...
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53 views

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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57 views

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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53 views

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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35 views

Dividends reinvested at the risk free rate

I am just learning the black scholes model and came across continuous dividends. I understand that when it comes to pricing, the dividends need to be reinvested in the risky asset, but what if they ...
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1answer
117 views

Put-Call Parity with dividends

In which book will I find the exact proof of put-call parity in the case when asset pays continuous dividend? I need a book to cite this result
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2answers
235 views

Where can I download a list of all stocks traded on NYSE, AMEX, NASDAQ that includes dividend and dividend yield information [duplicate]

Looking for a site I can download common stock information that includes dividend information as well as price. I see reference to NASDAQ stock screener but I don't see that information there.
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43 views

Replication (binomial tree)

Hey what is the replication strategy on the binomial tree when I have for example 10 step model and dividend is paid at step 3? I have a well-written price tree but I do not know what the replication ...
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1answer
91 views

Discrete Dividend GBM process

I'm trying to derive the risk neutral process for a stock with both continuous and discrete dividends. In particular, suppose the forward level process at time, $t$ is given by $F(S_t, t, T) = e^{(r-y)...
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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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1answer
73 views

Is this the reason why stock prices on the broad average always rise?

According to the so called Dividend Discount Model (DDM), a particular, temporary stock price is the discounted sum of all future dividends resulting from the investment: $$P=\frac{D}{i-g}$$ $P$ is ...
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64 views

Do European call options increase in value when dividends are increased? [closed]

Say you have a call option whose current value is $4.73$ and has a $\delta = .43$. Let's say dividend is increased by $.37$. I would expect the option to increase in value by ($.43*.37$) since the ...
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35 views

Dividend and Gain process in paper by Brigo, Buescu, Pallavicini and Liu

In the paper Illustrating a problem in the self-financing condition in two 2010-2011 papers on funding, collateral and discounting (2012) (link) from Brigo, Buescu, Pallavicini and Liu, the above ...
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218 views

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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3answers
132 views

Why are there no securitized cash dividends?

Some bond coupons are securitized and sold as strip bonds. Why can't stocks be similarly "stripped" to produce securitized dividend strips? Is it merely because there is no demand for such a ...
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59 views

Estimating dividend yield & risk-free rate from Futures prices

I would like to work with the dividend-adjusted Black Scholes formula and need to estimate the dividend yield and risk-free rate. I know that I could compute both rates exogenously. But I am working ...
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1answer
294 views

How to calculate dividend yield - option pricing

Hey how do you calculate the dividend rate if you want to price your stock options eg apple? Just take the dividends paid last year and divide by today's share price? This page reports 0.85% (https://...
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1answer
53 views

Do corporate events happen intraday?

Does any corporate event that affects the stock price/shares outstanding happen during the trading session in vanilla US Common stocks or predominantly at night ?
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33 views

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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1answer
101 views

Calculating the theoretically fair value of this futures contract by assuming monthly compounding

I need a help for the following question: A stock index is constructed by including only two stocks in the index. One of the stocks (Stock $1$) currently sells for $250$ dollar and the other stock (...
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2answers
82 views

How to find/calculate daily S&P500 dividends?

I need a time series with daily dividend data on the S&P500. I understand most dividend data is on a quarterly basis but I'm looking to model short-term effects of COVID-19 on dividends so I need ...
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0answers
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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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Implied vol and model calibration for an american option on a dividend paying stock - is there a market standard pricing model?

In terms of calibrating a pricing model to observed prices for American options on a dividend paying stock, is there a standard way of doing this in practice? My initial thought was to use CRR ...
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25 views

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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1answer
63 views

Is it possible to use options to increase the yield of a dividend paying stock?

I was wondering if it is possible to use call options (selling call options) to increase the yield of a dividend-paying stock (that I already own) by 1-2 percent per year? What are the cons of this ...
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1answer
71 views

Why the Inconsistency in the Derivation of BS for Dividend-Paying Underlying?

The basic idea is that we get two expressions for $\Delta \Pi = ...$ and equate them. The thing that does not make sense is that in one we take into account the dividend $$\Delta \Pi = \frac{d}{dS}V ...
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1answer
50 views

Understanding Walter's Dividend Policy Model

I'm trying to understand the justification for the mathematical formulation of the Walter model (1956), which provides an equation for the price of a stock based on present value of dividends and ...
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2answers
367 views

Delta one trading: dependence on repo rate?

I have heard a delta-one trader mentioning the dependency of its activity on interest rates, dividend yields and repo rates. While I can understand the exposure he has to interest rates and dividend ...
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1answer
48 views

How to calculate yield from holding companies like BRK?

We know Buffett's Berkshire doesn't pay dividends. But Berkshire owns many companies that pay dividends, say Wells Fargo and BofA. If one day, BRK decides to pay dividend, would their yield be around ...
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1answer
161 views

S&P 500 dividend data [closed]

I could not find S&P 500 dividend data on S&P 500 official site. Does anybody know where to find it?
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5answers
1k views

Equity Forward Price calculation

In the book of John Hull, the price of an equity forward on a dividend paying stock is formulated as: $$F_0 = (S_0 - I)e^{rT} $$ where $r$ is the risk free rate and $I$ is present value of the stream ...
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97 views

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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58 views

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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2answers
1k views

Free dividend data API for non-US stocks

Is there are any free API for dividend data that does also include non-US stocks? I know of this question from three years ago. However, the situation has changed since then apparently, as there are ...
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28 views

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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48 views

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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644 views

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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1answer
49 views

Sum disappearing when we assume constant some elements to be constant over time [closed]

I have the dividend discount model, which is the following expression: $$ P_{j,t} = \sum_{\tau=1}^{\infty}D_\tau(1+g)^\tau(1+r)^{-\tau}=\frac{D_{\tau+1}}{r-g} $$ Where $D_t$, is the dividend at time ...
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1answer
486 views

Hedging strategy for American Option

Good day, I was asked to devise a hedging strategy for an American Option given the following claims. Note, $r=0$ and the underlying stock pays a dividend of $1$ at time $t=1.5$ \begin{array}{|c|c|c|...
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0answers
83 views

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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2answers
300 views

Why can only non-dividend paying assets serve as numeraire?

In Kerry Back, A Course in Derivative Securities, Sect. 1.4 (page 29), the author stated the FTAP in the following form (in boldface): If there are no arbitrage opportunities, then for each (non-...
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1answer
469 views

Binomial Tree Option Pricing Model. Lets talk dividends and futures

I am writing an option pricing model for production use. Its not for arb or anything so it doesn't need to be 100% as accurate as possible. Just good enough for "what happens to my book if we jump 10 ...
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1answer
104 views

European put options

Why is it that for European Puts on Non-Dividend-Paying Stocks, the lower-bound for price is $$p=Ke^{-rT}-S_0?$$
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1answer
97 views

Getting rate from a share's given futures price, with known dividend information

Question was answered by @Ezy - thanks! This seems to be a basic question, but mysteriously unsolvable as far as I can see. It concerns calculating the interest rate from a given stock futures ...
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1answer
48 views

Calculating the diviend yield for a sector?

I have the cash dividend amount for each company and its sec code, how would i go about calculating the dividend yield of the sector? What other data would I need?
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1answer
2k views

Total Returns From Adjusted Close Prices

I'm trying to understand why the total return (return including dividends) that I get from calculating return using adjusted close price, does not equal the total return calculated in another manner. ...
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1answer
79 views

Gordon's dividend valuation model: Ignoring optionality

Currently studying some papers on Behavioral Finance (the dividend puzzle), which employ some basic valuation models, calculating stock's fundamental value $P_t$. The most known is the discount of ...
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236 views

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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1answer
236 views

Dividend yield on ASX 200 (XJO) index options

I'm trying to understand how to calculate the price and Greeks of XJO options. XJO options are European, the underlying is an index and they don't pay a dividend. However the underlying drops when ...