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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29 views

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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61 views

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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Up to date information on ex-dividend arbitrage

Has anyone got any more up to date papers along the lines of the following? Ex-dividend Arbitrage in Option Markets by Jia Hao, Avner Kalay, Stewart Mayhew, Rev Fin Stud 2010 https://en-coller.tau.ac....
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195 views

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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45 views

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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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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1answer
109 views

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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2answers
227 views

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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39 views

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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60 views

Calendar arbitrage with dividends

In this question, it is shown: i) the definition of calendar arbitrage for Call options; ii) the financial/mathematical rationale. Nevertheless, in that question, one assumes that there are no ...
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38 views

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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3answers
293 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 ...
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1answer
58 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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704 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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57 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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60 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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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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199 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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433 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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1answer
51 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
117 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
83 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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95 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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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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378 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
147 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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1answer
416 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
58 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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34 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
117 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
86 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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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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675 views

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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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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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
75 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
52 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
456 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
189 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
2k 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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59 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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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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741 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 ...