# 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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### 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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### Dividend Index Futures

My question is dealing with the proportionality between Dividend Index Futures prices and Index prices. Indeed, we in the past we used to do a simple regression between these variables and use the ...
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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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### Risk factors for 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 the main risk ...
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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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### Modelling long run relationship between dividend and earnings

I am working on a paper where I have to model the long run relationship between earnings and dividends. I have downloaded the raw data from shillers website. I have converted the series to log(...
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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 ...
1 vote
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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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### 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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### 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 ...