We propose a generalized framework for the modeling of tradeable securities with dividends which are not necessarily cash dividends at fixed times or continuously paid dividends. In our setup the dividend processes are only required to be semi-martingales. We give a definition of self-financing replication which incorporates dividend processes, and we show how this allows us to translate standa...

It has been argued that when management is more concerned with the firm’s survival than with profitability, it is efficient to use a levered capital structure and thereby commit to the transfer of the liquidation decision to lenders. Our paper analyzes this view in a setting where lenders may behave opportunistically when they control the liquidation decision — i.e., when there is a lender hold...

We develop new tests of the dividend signaling hypothesis by focusing on the role of liquidity. We allow for two different types of signaling models: one where current dividends signal firm value and the objective is to prevent current dilution, and the other where commitments to future dividends constitute the signal. We find that the results differ by the sign of the dividend surprise. Signal...

This paper characterizes equilibrium asset prices under adaptive, rational and Bayesian learning schemes in a model where dividends evolve on a binomial lattice. The properties of equilibrium stock and bond prices under learning are shown to differ significantly. Learning causes the discount factor and risk-neutral probability measure to become path-dependent and introduces serial correlation a...

In this paper, the optimal dividend (subject to transaction costs) and reinsurance (with two reinsurers) problem is studied in the limit diffusion setting. It is assumed that transaction costs and taxes are required when dividends occur, and that the premiums charged by two reinsurers are calculated according to the exponential premium principle with different parameters, which makes the stocha...

The first study for this dissertation develops a tax-adjusted cost-of-carry model for Australian stock index futures and estimates the value of the debt tax shield, cash dividends and imputation tax credits flowing from the basket stocks in the index. As discussed in the previous chapter, the study relaxes the assumption made in previous research that interest and dividends receive the same tax...

In this paper, we consider a diffusion approximation to a classical risk process with the possibility of quota-share and excess-of-loss reinsurance, while in addition the company controls the amount of dividends paid out to the shareholders as well as the capital injections. The objective is to maximize the cumulative expected discounted dividends minus the penalized discounted capital injectio...

1. GENERAL TECHNIQUE The object of our study is s = (So, Sl , ..., SN) = (S,,)O<,,<N (1) where each Sn is a m-dimensional stochastic (real valued) vector, i.e. Sn = (sn(l), s~, 2), ..., S~ '')) (2) defined on a probabili ty space (f~, .~', P) and adapted to a filtration (.~'n)O<n<N with .~'0 being the o-algebra consisting of all null sets and their compl-efflents. In this paper we interpret S!/...