Previous empirical studies have documented that equity prices react to announcements of unexpected dividend changes. The most promising hypothesis forwarded as an explanation of this phenomenon is the dividend signalling hypothesis. Building on a foundation of dividend signalling models, this study employs an expanded set of explanatory variables to explain excess returns documented around divi...

American options are financial instruments that can be exercised at any time before expiration. In this paper we study the problem of pricing this kind of derivatives within a framework in which some of the properties —volatility and dividend policy— of the underlaying stock can change at a random instant of time, but in such a way that we can forecast the final conditions. These peculiar assum...

In this paper,we consider a general Lévy riskmodelwith two-sided jumps and a constant dividend barrier. We connect the ruin problem of the ex-dividend risk process with the first passage problem of the Lévy process reflected at its running maximum. We prove that if the positive jumps of the risk model form a compound Poisson process and the remaining part is a spectrally negative Lévy process w...

This paper develops and tests a dynamic, sequential equilibrium model of corporate cash payout policy that endogenizes a firm's dividend initiation decision, and its extreme reluctance to subsequently cut dividends in a sequential equilibrium. After payment of dividends, all excess cash is disgorged via stock repurchases that elicit no price reactions. The theoretical model generates results co...

We analyze the regularity of the optimal exercise boundary for the American Put option when the underlying asset pays a discrete dividend at a known time td during the lifetime of the option. The ex-dividend asset price process is assumed to follow Black-Scholes dynamics and the dividend amount is a deterministic function of the ex-dividend asset price just before the dividend date. The solutio...

We consider the finite time horizon dividend-ruin model where the firm pays out dividends to its shareholders according to a dividend-barrier strategy and becomes ruined when the firm asset value falls below the default threshold. The asset value process is modeled as a restricted Geometric Brownian process with an upper reflecting (dividend) barrier and a lower absorbing (ruin) barrier. Analyt...

Due to the overwhelming international evidence that stock prices drop by less than the dividend paid on ex-dividend days, the ex-dividend day anomaly is considered a stylized fact. Two main approaches have emerged to explain this empirical regularity: the tax-clientele hypothesis and the microstructure of financial markets. Although the most widely accepted explanation for this fact relies on t...

Executive Summary. Both dividend yields and past returns have predictive power for P/E ratios; hence they can be used as tools in forming a market timing and asset allocation strategy in stock markets. This study examines the extent to which changes in real estate returns, reflected in changes of property value and dividend yields, can have great effects on P/E ratios. The study is confined to ...

results the total art score was equal to 30.07 ± 12.43. data analysis from art illustrated that 74.6% of 240 cases were in high and 13.8% were in medium level of risk. art-electre results revealed that grading and pars naghsh halls were in the best and decoration hall was in the worst ergonomic conditions and should be placed in the top priority of action level. background in this paper, the er...

Thomas A. Rietz (1988) proposes that the possibility of rare disasters (such as economic depressions or wars) is a major determinant of asset risk premia. Robert J. Barro (2006) shows that, internationally, disasters have been sufficiently frequent and large enough to make the Rietz proposal viable, and they account for a high equity premium. The Rietz-Barro hypothesis is almost always formulat...