# 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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### 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 ...
1 vote
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### 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{array}{|c|c|c|...
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### 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 ...
1 vote
482 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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### 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 ...
119 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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### 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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### 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?
4k 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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### 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 ...
292 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?
1 vote
317 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 ...
1 vote
444 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 ...
1 vote
308 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 ...
2k views

### 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 ...
718 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 ...
1 vote
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### 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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### 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 ...
1 vote
124 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 ...
498 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 ...
1 vote
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### 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 ...
114 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 ...
845 views

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 $... 7 votes 2 answers 880 views ### Cochrane on Return Predictability Being a lover of Sir Arthur Conan Doyle's work, I picked up a copy of Cochrane’s 2008 paper, The Dog That Did Not Bark: A Defense of Return Predictability and read: If returns are not predictable, ... 1 vote 2 answers 895 views ### How does income tax affect the Ex-dividend behavior of a stock? If there are no taxes and no volatility, I would expect the the move in a stock on the Ex-dividend date to be equal to the gross value of the dividend. However, if I am taxed, I find the problem gets ... 2 votes 1 answer 424 views ### What is the analogue used by Hull to price European calls with known cash dividends? From The Book by Hull: And Hull's comment: This rule is analogous to the one developed in Section 14.12 for valuing a European option on a stock paying known cash dividends. (In that case we ... 1 vote 1 answer 328 views ### What is the other type of impact of dividends on the stock price in this formula? Excerpted from Marek Musiela and Marek Rutkowski's Martingale Methods in Financial Modelling, Second Edition. I think I understand formula 3.71: paying cash dividend$\kappa_j$at time$T_j$will ... 1 vote 2 answers 2k 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 ... 3 votes 1 answer 857 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 ... 0 votes 1 answer 43 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 ... 6 votes 1 answer 3k 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-... 0 votes 1 answer 51 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 ... 1 vote 2 answers 37 views ### 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 ... 3 votes 2 answers 812 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 ... 1 vote 1 answer 392 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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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 ...
1 vote