# Questions tagged [dividends]

A dividend is a payment made by a corporation to its shareholders, usually as a distribution of profits.

134 questions
Filter by
Sorted by
Tagged with
54 views

### Difference between dividend swap and dividend futures

My understanding has been that a dividend swap, like any other type of swap involves pricing a fixed leg ($A$), with some dividend amount per period as the strike, and a variable leg ($B$) with the ...
1 vote
42 views

### Early exercise with multiple dividends

I am wondering how early exercise conditions work on multiple dividends. Say a stock pays 4 dividends in a year. We are 1 day before the first ex-div date and long an ITM Call and ITM put in an expiry ...
• 11
64 views

### Why do dividend yields converge to zero?

According to the dividend discount model, a stock price is the discounted value of its dividends, where one assumes the dividends grow annually by some rate $g$ and are discounted at $r$, the required ...
• 141
257 views

### 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 ...
1 vote
207 views

596 views

### 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 ...
• 151
1 vote
135 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 ...
• 48
1k 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 ...
• 173
1 vote
86 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 ...
• 111
1 vote
74 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 $\mathbb{R}$. $\delta$...
349 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 ...
• 71
1k 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
1k 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.
114 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 ...
• 443
1 vote
464 views

• 155
102 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 ...
• 93
1k 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 ...
• 101