Constant Dividend Research Articles

Perturbed MAP/PH Risk Model With Possible Delayed By-Claims and a Constant Dividend Barrier

Perturbed MAP/PH Risk Model With Possible Delayed By-Claims and a Constant Dividend Barrier

The Risk Model with a Constant Dividend Barrier Affected by a Threshold Value

This paper considers a new risk model with a constant dividend barrier, which the claim amount affected by a threshold value. The hypothesis of the model is presented and the integro-differential equation for the Gerber-Shiu penalty function is given. Then the linear solution of the Gerber-Shiu discounted penalty function is figured out. The paper also derives the integro-differential equation and the linear solution of the expected discounted dividend payments. An example is given too.

On a Discrete-Time Risk Model with Random Income and a Constant Dividend Barrier

In this paper, a discrete-time risk model with random income and a constant dividend barrier is considered. Under such a dividend policy, once the insurer’s reserve hits the level b b > 0 , the excess of the reserve over b is paid off as dividends. We derive a homogeneous difference equation for the expected present value of dividend payments. Corresponding solution procedures for the difference equation are invested. Finally, we give a numerical example to illustrate the applicability of the results obtained.

The Phenomenon of Dividend Announcement on Stock Abnormal Return (Case in ASEAN Countries)

Research aims: to examine the existence of stock’s abnormal return after dividend announcement activity.Design/methodology/approach: event study with 1.330 samples of dividend announcement in ASEAN countries during 2018. The research period was 21 days around the dividend announcement’s date.Research findings: this analysis's results agreed with the dividend signaling theory hypotheses, where the increase, decrease, or constant dividends could be an informative aspect for investors. Theoritical contribution/originality: it was shown by the presence of a positive abnormal return between an increase and a constant dividend, while a negative abnormal return between decrease dividends.Practitioner/policy implication: in the ASEAN capital market, it could be concluded that the change of dividend nominal would signal the firm’s prospect.Research limitation/implication: this research used the earliest dividend announcement before revision. Suggestions for further research are to pay attention to announcements of changes in dividend distribution dates and nominal revision, whether they contain information for investors, which will affect stock price movements.

AN ANALYSIS OF THE RELATIONSHIP BETWEEN EARNINGS AND CORPORATE TAXES ON DIVIDEND POLICY OF COMPANIES IN SRI-KEHATI INDEX

Objective: This study examines the effect of earnings and corporate taxes role on the company's dividend policy in the SRI-KEHATI Index. In this research, dividend policy means dividends paid proportion to shareholders. Earnings are estimated by four financial ratios namely contributed capital ratio, prior year-earnings, sales growth, and return on assets.Research Design & Methods: The sample is taken according to purposive sampling with the criteria of the consistency of the company listed in the SRI-KEHATI Index during 2014-2017 and routinely distributes annual dividends, finally 14 companies are taken from 33 companies. Panel data were examined with the assistance of Eviews 9.0 software. Data collected from the company's financial statements and measured using a formula adopted from earlier research. Findings: Empirical results found that capital ratio, prior year-earnings, sales growth, and corporate taxes did not significantly affect the dividend payout ratio. While return on assets has a positive effect on dividend payout ratio. Companies that grow well will need more funds to cover their financing and try to keep up their income proportion, one way is to pay a constant dividend, lower, or even zero dividends. Limitations & Recommendations: This finding recommends that investors should pay attention to company profitability by measuring return on assets. Future research can use the new stock index’s constituents such as IDX High Dividend 20 and include other factors that indicated to determine dividend policy. Contribution & Value Added: This result contributes to the financial literature, especially related to the dividend policy of public listed companies in Indonesia. Practically, investors can use this result as additional information in investment decisions.

The Expected Discounted Penalty Function in the Generalized Erlang (n) Risk Model with Two-Sided Jumps and a Constant Dividend Barrier

In this paper, the generalized Erlang(n) risk model with two-sided jumps and a constant dividend barrier is considered. We assume that the downward jump sizes follow an arbitrary distribution and the upward jump sizes follow the mixed Erlang distribution. An integro-differential equation with boundary conditions for the expected discounted penalty function is derived and the solution is provided. The defective renewal equation for the expected discounted penalty function with no barrier is derived. We also give an example to obtain the expression of the expected discounted penalty function when the claim amounts are exponentially distributed.

Should Bank Dividends Be Regulated? What Is the Long-Term Historical Evidence?

The issue of bank dividend regulation has become highly controversial as the stress induced on bank capital during the 2008 financial crisis and the covid pandemic created a demand for enhanced regulation and restrictions on bank dividend payments. This paper examines this issue from a historical perspective by analyzing the dividend decisions of a sample of central-reserve-city banks during the Great Depression and its aftermath to 1973, and in particular the active risk management role that dividend policy may have played for study banks. Dividend policy was used to balance the interests of stockholders and depositors, and to preserve the long-term solvency of the bank. Overall our study results show that despite an initial reluctance to cut dividends, banks cut dividend levels by 24% in 1932 and by 12.7% in 1933 (in median terms). Post-Great Depression dividends remained at depressed levels through most of the 1930s and 1940s. Our study results indicate that this period of depressed and relatively constant dividends allowed banks to rebuild capital levels, which had fallen sharply with the Great Depression. Capital rebuilding post-depression represented risk-shifting in favor of depositors and likely contributed to the stability of the U.S. banking system in the post-depression era.

Self-Fulfilling Risk Panics: An Expected Utility Framework

Even if an asset has no fundamental uncertainty with a constant dividend process, a stochastic sentiment-driven equilibrium for the asset price exists besides the well-known fundamental equilibrium. Our paper constructs such sentiment-driven equilibria under general utility functions within an OLG structure. Our paper further shows that the existence of sentiment-driven equilibria is robust in a standard infinite-period model as long as the pricing kernel is affected by the asset price.

Simple approximations for the ruin probability in the risk model with stochastic premiums and a constant dividend strategy

Simple approximations for the ruin probability in the risk model with stochastic premiums and a constant dividend strategy

Analysis of cash dividend policy in Indonesia stock exchange

Dividend policy has been puzzling for researchers for decades. The level of dividend varies not only across industries, but also across countries. This research analyzes the dividend policy of Indonesian public companies, in particular it examines the partial effect of cash ratio, debt ratio, company size, profitability, and asset growth on cash dividend policy in Indonesia Stock Exchange from 2008 to 2015. A total of 102 companies was used as a sample. The samples are divided into four groups: (1) a group of companies paying changeable dividends (Change group), (2) a group of companies paying continuous dividends, but then stop paying dividend (Omission group), (3) a group of companies that initially do not pay the dividends, but then continuously paying dividend (Initiation group); and (4) a group of companies paying constant dividends (Constant group). Results of hypotheses testing using multiple regression analysis show that profitability and asset growth affect dividend policy in all company groups. Company size affects dividend policy in the Change, Initiation, and Constant groups. Debt ratio influences dividend policy only in the Change group.

SHARE PRICE REACTION TO CASH DIVIDEND ANNOUNCEMENT: AN EVENT STUDY OF LISTED FIRMS IN KENYA

This study aimed to establish the effect of cash dividend announcement on share price reaction of the firms listed on the Nairobi Securities Exchange (NSE). This study used Event Study methodology with purely secondary drawn data from 24 firms listed on the NSE who meet the study threshold with an event window of eleven (11) days during the year 2008-2013. The study adopted the descriptive research design and sampling de-sign being purposive. STATA version SE12 was used to produce a descriptive analysis. The findings indicate that the share price reaction to dividend announcement is posi-tive for a dividend increase and negative for dividend decrease and constant for the constant dividend. The study therefore recommends that the effect of the dividend on the firm’s share price is very crucial for not only the literature but also for the regula-tion and supervision of the capital market and that further development of accounting standards, increased auditing skills, and advances in investor education will likely make dividends even more important in the future. Following these findings, it would be useful to also consider the following directions for future research on whether there is any joint effect of cash dividend, bonus issues, and right issues on the share price of firms listed on NSE.

A perturbed risk model with constant interest and periodic barrier dividend strategy

This paper studies the discounted Gerber-Shiu type function for a perturbed actuarial risk model with interest and periodic dividend strategy. Under the assumption of exponentially distributed inter-observation times, some integro-differential equations of the discounted Gerber-Shiu type function at ruin are presented. For exponential claim amounts, explicit expressions satisfied by the Laplace transforms of ruin time are provided and some numerical examples are investigated to demonstrate our results.

Why is the Value Estimated from the Constant Dividend Growth Model not an Equilibrium Value?

For dividend discount models, the intrinsic value of stock is estimated by discounting all the future dividends of the stock. In the simplest assumption where growth is constant forever, the Constant Dividend Growth Model formula is expressed as P = D1 / (k-g). The premise is that the firm will pay future dividend that will grow at a constant rate. In this paper, we show that the price generated by this traditional formula is not stable if ROE is not equal to k. In the long run where capital can be varied, the company’s ROE should be equal to k. Otherwise, firms will have the incentive to boost share value by increasing or reducing capital accordingly. The long run equilibrium state is attained when the return on equity is equal to the required return (k = ROE). In such case, the constant dividend growth model can be simplified to: V = EPS1 / k. Only in the condition where k = ROE would the price yielded by the traditional dividend growth model is stable. Interestingly, the derived valuation formula for the long run equilibrium condition is based on only EPS and required return, which means that the model can also be applied to firms which pay no dividend.

常数边界分红策略下最优比例再保险和投资策略

常数边界分红策略下最优比例再保险和投资策略

A Risk Process with Delayed Claims and Constant Dividend Barrier

This article studies a risk process with constant dividend barrier where the delayed claims are considered, and two types of individual claims, main claims and by-claims, are defined. Each by-claim...

Stochastic dividend discount model: covariance of random stock prices

The price of common stocks, defined as the sum of all future discounted dividends, is at the heart of both the dividend discount models (DDM) and the stochastic DDM (SDDM). Gordon and Shapiro (Manag Sci 3:102–110 1956) assume a deterministic and constant dividends’ growth rate, whereas Hurley and Johnson (Financ Anal J 4:50–54 1994, J Portf Manag 25(1)27–31 1998) and Yao (J Portf Manag 23(4)99–103 1997) introduce randomness by letting the growth rate be a finite-state random variable and random dividends behave in a Markovian fashion. In this second case expected stock price is determined, but what if higher-order moments are needed? In order to address a number of financial topics, the present contribution presents an explicit formula for the covariance between (possibly) correlated stock prices.

The evaluation of geometric Asian power options under time changed mixed fractional Brownian motion

In this paper, the geometric Asian option pricing problem is investigated under the assumption that the underlying stock price is assumed following a mixed fractional subdiffusive Black–Scholes model, and the geometric average Asian option pricing formula is derived under this assumption. We then apply the results to value Asian power options on the stocks that pay constant dividends when the payoff is a power function. Finally, lower bound of Asian options and some special cases are provided.

The Information Content of Dividend Announcements: Evidence from Frontier Markets with Varying Tax Regimes

This study provides further insight into the information content of dividends by investigating stock price reaction to the announcement of cash dividends in the unique environments presented by Jamaica and Trinidad and Tobago. In the case of Jamaica, we document a positive relationship between stock prices and dividend announcements during the period when the tax rate on dividends was 25% and the capital gains tax 0%, but no relationship when the tax rate on dividends fell from 25% to 5% with the capital gains tax rate unchanged. While, in the case of Trinidad and Tobago, where there are no taxes on dividends or capital gains, we find no statistically significant stock price reaction to the announcement of dividend increases and constant dividends but a positive relationship between the announcement of dividend decreases and stock prices. The results for Jamaica are largely supportive of tax-based signaling models which argue that higher taxes on dividends relative to capital gains are a necessary condition for dividends to be informative. However, the results from Trinidad and Tobago suggest that tax differentials are an important but incomplete explanation for the information content of dividend announcements.

The Gerber-Shiu Discounted Penalty Function of Sparre Andersen Risk Model with a Constant Dividend Barrier

This paper constructs a Sparre Andersen risk model with a constant dividend barrier in which the claim interarrival distribution is a mixture of an exponential distribution and an Erlang(n) distribution. We derive the integro-differential equation satisfied by the Gerber-Shiu discounted penalty function of this risk model. Finally, we provide a numerical example.

The Gerber-Shiu Expected Penalty Function for the Risk Model with Dependence and a Constant Dividend Barrier

We consider a compound Poisson risk model with dependence and a constant dividend barrier. A dependence structure between the claim amount and the interclaim time is introduced through a Farlie-Gumbel-Morgenstern copula. An integrodifferential equation for the Gerber-Shiu discounted penalty function is derived. We also solve the integrodifferential equation and show that the solution is a linear combination of the Gerber-Shiu function with no barrier and the solution of an associated homogeneous integrodifferential equation.