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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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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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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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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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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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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how to calculate YTD return including the paid dividends
I am looking for a way to compute YTD return and I found this question (calculate YTD return / find first available datapoint of a year in python), however, it seems that it does not include the paid ...
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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.
...
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Why do we use the letter $q$ for dividends?
In derivative pricing models, we often use the letter $q$ to designate the dividend yield i.e.:
$$\textrm{d}S_t=S_t((\mu-q) \textrm{d}t+\sigma\textrm{d}W_t)$$
for the price process $S$ of the stock.
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Why do we need an ex-dividend date? [closed]
Why do we need an ex-dividend date? What is the problem with the ex-dividend date being the same as the payment date? Why are they separate? What problem does having a separate ex-dividend date solve?
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Modeling the price of a stock based upon its dividend history
The value of a stock is the present value of all future dividends. This is sometimes called the Gordon Growth model. This model assumes that dividends increase at a constant rate. In the real world ...
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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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Upcoming dividends
The yahoo finance package (yfinance) in python is very nice, and for example:
msft = yf.ticker('MSFT')
msft.dividends
Will give ...
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Forward on a stock with Dividends
I have seen the question here and have gone through the answer, but I still don't fully understand why the approach below, based on no-arbitrage, yields a different answer.
To summarize:
At time $t_0$...
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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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How should I decide the yield rate when calculate the spx implied volatility?
I am wondering how the industry decides the yield rate for a certain maturity when calculating the implied volatility for the SPX option.
Is it just a simple linear interpolation from the two near ...
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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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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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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 ...
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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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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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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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GBM - How to make make annualized dividend reflected in one quarter
I want to simulate the price path of a stock for one quarter using geometric Brownian motion. The stock has a continuous dividend yield of 5% based on the annual dividend yield. However, historically ...
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Multi-stage dividend discount model using financial calculator
Instead of the wrote formula approach, this analyst shows that such problems can be decomposed into their cash flows at different points in time, which enables us to use ...
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How to derive forward price on stock with continuous dividend
Let $F_{t,T}$ be the forward price of a stock $S$ at time $T$ and $t$ be the current time. The stock pays a proportional continuous dividend at a rate of $q$ and the risk-free rate is $r$. How can I ...
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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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How soon after purchasing a stock are you eligible to collect dividends? [closed]
If comapny x announces dividends will be paid out tomorrow, can I buy 1000 shares today, collect my dividend on the shares, and then sell? Or do you have to hold the stock for a period of time before ...
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A question about exercise from "Paul Wilmott introduces Quantitative Finance"
I am new on this forum and i have just begun my adventure with finances, so please be patient.
I was solving exercises from "Paul Wilmot introduces Quantitative Finance" and i came across ...
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Asset Pricing and Negative Prices
I am running an asset pricing study.
The data is from 1990 to 2020.
When the data is adjusted for dividends and splits, stock prices of several firms become negative.
How does one handle negative ...
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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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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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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 ...
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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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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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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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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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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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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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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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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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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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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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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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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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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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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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