This paper investigates the presence of cointegration between stock prices and dividends for a panel of 56 large UK companies. Using new techniques which account for integrated processes in a panel context we demonstrate that stock prices and dividends are cointegrated, with an implied common discount rate of 5.8%. The authors would like to thank Rebecca Driver, Ronnie MacDonald and Peter Pedro...

Out of their after-tax profits, corporations pay dividends and often repurchase shares to generate capital gains for their shareholders. Capital gains typically attract lower effective rates of tax than dividends, which leads to the payout puzzle: Why do corporations continue to pay dividends in spite of their relative tax disadvantage? This paper develops a model of corporate payout policy to ...

Based on different objectives, various insurance risk models with adaptive polices have been proposed, such as dividend model, tax model, model with credibility premium, and so on. In this report, we will only focus the study on dividend strategies. Here are some reasons why the dividend strategy is of interest. For an insurance company, ruin occurs when a claim size is greater than its reserve...

In this paper we analyze some problems arising in the evaluation of American options when the underlying security pays discrete dividends. To this aim, we study the problem of maximizing the expected gain process over stopping times taking values in the union of disjoint, real compact sets. The results we obtain can be applied to evaluate options with restrictions on exercise periods, but are a...

This paper shows that unexpected stock returns must be associated with changes in expected future dividends or expected future returns A vector autoregressive method is used to break unexpected stock returns into these two components. In U.S. monthly data in 1927-88, one-third of the variance of unexpected returns is attributed to the variance of changing expected dividends, one-third to the va...

This paper shows that unexpected stock returns must be associated with changes in expected future dividends or expected future returns A vector autoregressive method is used to break unexpected stock returns into these two components. In U.S. monthly data in 1927-88, one-third of the variance of unexpected returns is attributed to the variance of changing expected dividends, one-third to the va...

We provide a distributional study of the solution to the classical control problem due to De Finetti (1957), Azcue and Muller (2005) and Avram et al. (2006) which concerns the optimal payment of dividends from an insurance risk process prior to ruin. Specifically we build on recent work in the actuarial literature concerning calculations for the n-th moment of the net present value of dividends...