All Questions
28 questions
0
votes
1
answer
204
views
How are "stock dividends" treated in total return swaps?
To be clear, I'm asking about the corporate action that dilutes the share base by awarding stocks to shareholders NOT the corporate action that awards cash.
As best I can tell, these are essentially ...
- 96
1
vote
0
answers
52
views
How to represent dividend schedule to ML Model for barrier Options
I am looking at creating an ML model to price an exotic equity option which has a barrier where the buyer is paid out if the barrier is crossed, and multiple observation dates where the price is ...
- 11
2
votes
0
answers
184
views
Rigorous formula for adjusted close price
I'm a mathematician who is new to the stock market, and I'm hoping to shine a rigorous light on a simple example of adjusting close prices for, say, dividends.
Let time $t$ represent today. Say that ...
- 21
1
vote
2
answers
141
views
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?
...
- 472
0
votes
2
answers
127
views
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 ...
- 261
0
votes
1
answer
716
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 ...
- 115
9
votes
2
answers
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
2
votes
0
answers
385
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
0
votes
0
answers
75
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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; ...
- 101
0
votes
1
answer
104
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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 ...
0
votes
1
answer
119
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 ?
- 117
1
vote
2
answers
142
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 ...
0
votes
0
answers
38
views
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, ...
- 101
0
votes
1
answer
54
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 ...
3
votes
5
answers
4k
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 ...
- 471
0
votes
0
answers
70
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 ...
- 111
0
votes
2
answers
2k
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 ...
- 101
2
votes
1
answer
116
views
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 ...
- 21
2
votes
1
answer
106
views
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 ...
- 1,426
4
votes
3
answers
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 ...
- 41
1
vote
1
answer
211
views
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....
- 469
1
vote
1
answer
133
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 ...
- 313
7
votes
2
answers
975
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
1
answer
380
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 ...
- 913
0
votes
2
answers
317
views
Where can I download the history of dividends for Nasdaq?
I want to download the annual dividends(regular,special and repurchaces) for all stocks at Nasdaq for 5 years. Does anyone know where can I find it?
Thank you
- 17
2
votes
0
answers
125
views
Why would a 9% dividend payment halve the stock price? [closed]
I am trying to understand why a stock experienced a very drastic drop in price. The only event linked to the drop seems to be payment of an unusually big dividend; however its effect on the price ...
2
votes
0
answers
373
views
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(...
- 21
4
votes
0
answers
183
views
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 ...
- 13.8k