I document that durable consumption growth is highly persistent and predicted by the price-dividend ratio. This provides strong and direct evidence for the existence of a highly persistent expected component. I also document robust evidence that durable consumption growth is left skewed and exhibits time-varying volatility. These properties motivate a model for durable consumption growth as dri...

This paper derives the optimal debt ratio and dividend payment strategies for an insurance company. Taking into account the impact of reinsurance policies and claims from the credit derivatives, the surplus process is stochastic that is jointly determined by the reinsurance strategies, debt levels, and unanticipated shocks. The objective is to maximize the total expected discounted utility of d...

The concept of dividend in transferable utility games was introduced by Harsanyi [1959]. It offers a unifying framework for studying various valuation concepts, from the Shapley value (symmetric as well as weighted) to the different notions of values introduced by Weber [1988]. Using the decomposition of the characteristic function used by Shapley [1953] to prove uniqueness of his value, the id...

In the absence of investment and dividend payments, the surplus is modeled by a Brownian motion. But now assume that the surplus earns investment income at a constant rate of credit interest. Dividends are paid to the shareholders according to a barrier strategy. It is shown how the expected discounted value of the dividends and the optimal dividend barrier can be calculated; Kummer’s confluent...

The paper analyses the determinants of dividend payments and tests the hypothesis that companies pay dividends at the expense of investing in research and development (R&D). The evidence suggests that four fundamental factors – size, growth, profitability and risk – determine the decision to pay dividends but also to invest in R&D. Consistent with previous evidence, the average R&D intensity of...

Graham: “It is important for the student to understand why this pleasingly simple method of valuing a common stock or group of stocks had to be replaced by more complicated methods, especially in the growth-stock field. It would work fairly plausibly for assumed growth rates up to, say, 5 percent. The latter figure produces a required dividend return of only 2 percent, or a multiplier of 33 for...

This paper examines alternative ways that the value of CO2 emissions allowances created under cap-and-trade policy could be returned to households. One approach (based on principles of economic efficiency) is effectively a “tax shift” that would use revenues from an auction of CO2 emissions allowances to reduce preexisting distortionary taxes. A second approach (based on principles of property ...

The existing literature on law and finance generally assumes that firms are passive recipients of the influence of investor protections on their ability to raise external financing. In this paper, we empirically identify a commitment mechanism, i.e., dividend payouts, which firms use to establish a reputation for better treatment of outside shareholders in order to compensate for country-level ...