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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52 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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Share Repurchase Impacts in Abnormal Earnings Growth Model (AEG)

I am implementing an AEG model based off Ohlson (2005). The formula is as follows: $$ V_0 = \frac{E_t}{k} + \sum_{t=1}^n{\frac{1/k * (E_{t+1} - (1+k)E_t+kD_t)}{(1+k)^t}} $$ I'm debating how share ...
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41 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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23 views

API that could be used for Dividend Growth years calculation?

I am trying to find API that gives historical info about dividend payouts from the very beginning of the companies or more or less so. I tried AlphaVantage, but it gives info only until 1999. For AT&...
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2answers
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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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46 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
45 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
149 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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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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45 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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137 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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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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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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192 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
46 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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185 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{...
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71 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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1answer
103 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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183 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
90 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
87 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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38 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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727 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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71 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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170 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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163 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 ...
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142 views

Value-at-Risk and dividend payments

How should dividends be considered when computing Value-at-Risk for a stock portfolio using Historic data. To simplify let's consider a very simple portfolio of one long position on a stock. My VaR ...
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60 views

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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3answers
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Black Scholes and high dividend paying stocks

I understood there were 3 alternative methods of dealing with dividends in BS: 1) using a continuous dividend yield as an input; or 2) setting dividends to zero and subtracting the PV of divs from the ...
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3answers
164 views

Structured product sellers and div swaps

From a Barclays primer on dividend swaps: We note that for shorter periods of time, implied dividends can be more volatile than spot as dividends often trade away from ...
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1answer
117 views

Dividend Yield Goyal and Welch (2008)

Following the Goyal and Welch (2008) stock return predictability data, does anyone know how they calculate the dividend yield from the dataset that they provide on Amit Goyals website http://www.hec....
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2answers
211 views

Is an options implied dividends DCF model consistent with risk neutral/arbitrage-free valuation?

We're talking about how we price every financial instrument: by discounting the payoff, that is, we take future cash flows and we discount them by a proper rate which takes into account the risk of ...
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1answer
82 views

Role of next month's dividends in forward pricing

I'm using the equations given on this page to price forwards on an equity. It's a basic equation that discounts dividends. But my question is: What do we do about dividends that occur after the ...
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1answer
326 views

Dividend Yields of the S&P500

Straightforward question; Is it possible to find dividend yields of the S&P 500 on a daily basis (or at least the dividends of the S&P 500)? I have been looking everywhere and can't find ...
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1answer
62 views

Bond ETF Implied Dividends

What (if one exists) is the standard way for estimating future dividends on bond etfs? The major challenge in my mind is that the monthly dividend distributions of a bond etf (like HYG) don't ...
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81 views

Bond ETF Dividends

Bond ETFs usually make monthly dividend payments. The ETF manager receives quarterly or semiannual coupons on the underlying bonds in the ETF. What is the time delay between the coupons received and ...
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516 views

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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390 views

Cochrane on Return Predictability

Being a lover of Sir Arthur Conan Doyle's work, I picked up a copy of Cochrane’s 2008 paper, The Dog That Did Not Bark: A Defense of Return Predictability and read: If returns are not predictable, ...
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657 views

How does income tax affect the Ex-dividend behavior of a stock?

If there are no taxes and no volatility, I would expect the the move in a stock on the Ex-dividend date to be equal to the gross value of the dividend. However, if I am taxed, I find the problem gets ...
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1answer
183 views

What is the analogue used by Hull to price European calls with known cash dividends?

From The Book by Hull: And Hull's comment: This rule is analogous to the one developed in Section 14.12 for valuing a European option on a stock paying known cash dividends. (In that case we ...
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1answer
189 views

What is the other type of impact of dividends on the stock price in this formula?

Excerpted from Marek Musiela and Marek Rutkowski's Martingale Methods in Financial Modelling, Second Edition. I think I understand formula 3.71: paying cash dividend $\kappa_j$ at time $T_j$ will ...
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1answer
555 views

Calculation of dividend yield from index returns

For a research project, I need to find or calculate dividend yield for all the index of major countries in the world (e.g: s&p500,DAX,CAC40 and so on), and I am struggling a bit with it. I cannot ...
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1answer
513 views

Why is the dividend risk of an option equal to its delta?

In this document, https://www.eurexgroup.com/blob/2435406/f1b0086a8c6d05954c58a8dc24308c81/data/20160304_Colin-Bennent-Trading-Volatility-.pdf, it states that "This is because the dividend risk of ...
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37 views

is there a dependence between an annotation date of stocks dividend payment and the end fiscal year

I know that the fiscal year in USA from 1 October till 30 September. I'd like to know: is whether there a dependence between a declaration date and an end of fiscal year? I think this dependence ...
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1answer
1k views

Implied Dividend from American Options (in practice)

I just tried to price the implied dividend for a few active, liquid options markets using current prices and I am not convinced my results are accurate. I am using American options, and using the put-...
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1answer
50 views

Can anyone explain why dividend income shot up during 2009-10 and then back down in 2010-11

I'm reading a report about the effects of the introduction of the additional income tax rate in the UK, which was released in 2010 which can be found here. Table 5.1 shows a sudden jump in dividend ...
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2answers
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I need a low volatility asset that gives an interest/dividen [closed]

I have some cash that needs to sit on an account for some time (less then a year, where I will withdraw an amount every month). I need them in a fixed price/low volatility asset that gives an interest ...
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1answer
149 views

The Dog That Did Not Bark?

I've been reading Cochrane's 2006 paper "The Dog that did not bark: A Defense of Return Predictability", but i am still struggling to understand what the dog was, and why it wasn't barking? If anyone ...
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1answer
155 views

Is this representation of the put-call parity correct? (Implied dividend estimation)

I am looking at implied dividend yields to be obtained from the put-call parity and have come across the following answer: Implied dividend estimation It states that $$ PV(div) = P - C + (S - K) + K(...
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1answer
311 views

Backtesting and dividend adjustments

I am backtesting a number of trading strategies using a feed of unadjusted data from Factset. Before I run the backtest my routines adjust the data for splits and for special dividends. One question ...